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Between The Buttons
Bridges To Babylon
(& any other albums that start with "B"!).
Big Hits - High Tide and Green Grass
Through the Past, Darkly (Big Hits Vol. 2)
ROLLED GOLD (best collection of the 60's 'historical' material in a chronological order - a good 'study')
JUMP BACK (best collection of the post-60's material; covers 1971-1994)
EXILE ON MAIN STREET (probably their greatest album, released 1972)
I think those three will you get quite far in Stonesworld to know what's going on (but I need to say I bit hesitate with EXIlE since I think to really get the album one needs some pre-study.)