I'm 44 so I didn't see Frank live enough times, total of seven shows all told. To this day a standard to which all live bands should be held to (Steely Dan comes close though).
I'd strongly suggest you buy every record Zappa released, but that's just me. My favourite studio record is Tinseltown Rebellion (Zoot Alure, Joe's Garage, and Sheik Yerbouti are all close seconds). Must haves for any Zappa fan are the live albums "Does Humor Belong in Music" and "Live in New York". I'd also recommend you check out Boulez Conducts Zappa, the London Philharmonic release, and of course Jazz From Hell. Absolutely brilliant musician, I doubt there'll be another in my lifetime close to FZ. He was a genius.