I think my favourite CD featuring TPS is probably Coil's Musick To Play In The Dark 2, especially Tiny Golden Books.
I like Musick to Play in the Dark pt 1 a bit better than 2 but both are worthwhile IMHO.
I recently ordered a used copy of I Thighpaulsandra though and am perfectly willing to allow that to transcend what he did on the 2 Musick/Dark albums.