Oh holy shit, are you in for a ride. I'd recommend working your way backwards in time, I.E.:
My Father Will Guide Me Up a Rope to the Sky
Soundtracks for the Blind
The Great Annihilator
Love of Life
White Light from the Mouth of Infinity
etc.
They...uh...they're kind of all over the place. From neo-folk to psychedelia to experimental to drone...there were even flashes of the style that would be Angels of Light -- probably my favorite descriptor of a musical genre ever, "Death Folk".
Yeah, don't get me wrong, I will still listen to their entire album, as I believe in at least trying to hear it as the artists intended (unlike King Crimson, which I will edit out their improvisational stuff that I don't like), and I believe it yields an entirely different listening experience than listening to it edited.