Au contrare, Onhwy61, true Velvets fans hold them all in high regard, and you are obviously one.
Sean, if you want to appreciate the roots of alternative rock (in the original sense of the phrase), you need to throw caution to the wind and get them all. The three original Verve label releases are "The Velvet Underground and Nico" (1966), "White Light/White Heat" ('67), and "The Velvet Underground" ('69). The 'lost' fourth Verve record material is contained in the outstanding 80's compilation entitled "VU". They then moved to Cotillion for their fifth and last studio album, "Loaded" ('70). More material from the vaults was assembled on a subsequent release to "VU", entitled "Another View", and live albums were put out after their break-up, "Live at Max's Kansas City" and "1969". My favorites are the first, third, lost 'forth', second, and fifth, in that order. ("Another View" and the live stuff can be put off until you're a devotee.) Although the second record, "White Light..." is essential in more ways than one, it is by far the toughest listen, being the first rock record steeped in noise, and quite poorly recorded. (FWIW, the best-sounding disk is probably "VU", but none of their output could be considered audiophile material, no matter what format.) 'Guest vocalist' Nico's contributions to the first album are either loved or hated, but the haters aren't VU fans, period (same regarding John Cale's viola work). Whatever you get first, just get started. As the saying goes, 10 years ahead of their time, and the main inspiration of a few thousand later bands.