The two live albums that I recommended above contain almost all of his best songs with really great live sound.

Some of the albums are great but they sound dated due to the lack of good sound quality. Born to Run is the absolute best album - don't be put off by the asshole that posted here under that name. After Born to Run there is The River and then Born in the USA in terms of favorites. You could probably get used copies of any of these pretty cheap.

If any of those please you - you can then start getting into his acoustic stuff which oddly enough is much heavier in terms of writing and seriousness.