pretty much everything he's done is worth having (although I don't have everything). My favorite solo efforts in order are Sailing to Philadelphia; Goldenheart; Ragpicker's Dream.
Soundtracks I like are Cal, and Princess Bride - though these are much different than his albums.
His album with Chet Atkins (Neck and Neck) is great too.
Of course all of the Dire Straits stuff.