I might offend some people here (not my intention), but I'd stay away from Please Come Home Mr. Bulbous & Manic Moonlight. I just can't make myself like those two no matter how hard I try, so I give up.
Gretchen is definitely a good place to start! I love that one. My old cover band used to do "Fall on Me" (at my insistence), and even the audience members who didn't know of King's X would compliment that song after the show.
I would pick up Dogman next. I have to agree with stratotone about the guitar on that recording. It's heavy, and it rocks from start to finish.
Tapehead is killer, and XV has 3 or 4 badass tunes. Earcandy, Out of the Silent Planet, Faith Hope Love, etc.... Everything else is worth it. Get it!
I haven't had any desire to pick up Black Like Sunday. I've sampled some of the tunes, but nothing made me want to listen to it. I haven't checked out the live one's yet either, but they're probably pretty good. I've seen them live 3 times. They're one of the tightest, if not THE tightest live band.