"The Legendary Pink Dots" have too many damn albums.

I would recommend you start with these...

Shadow Weaver
by  The Legendary Pink Dots
Link:  Bandcamp
Any Day Now
by  The Legendary Pink Dots
Link:  Bandcamp
All the King's Horses
by  The Legendary Pink Dots
Link:  Bandcamp
The Crushed Velvet Apocalypse
by  The Legendary Pink Dots
Link:  Bandcamp
Seconds Late for the Brighton Line
by  The Legendary Pink Dots
Link:  Bandcamp
The Maria Dimension
by  The Legendary Pink Dots
Link:  Bandcamp
Plutonium Blonde
by  The Legendary Pink Dots
Link:  Bandcamp
Malachai (Shadow Weaver Part 2)
by  The Legendary Pink Dots
Link:  Bandcamp