Hmmm ... imho, you can't really go wrong as it's all good.
If in doubt, you can always check out any of the numerous free live show recordings, see what floats your boat and track the songs back to their albums of origin:
https://archive.org/details/RobynHitchcock?&sort=-downloads&page=2
Some personal faves are; I Often Dream of Trains 1984, Fegmania! 1985,
Element of Light 1986, Eye 1990, Moss Elixir 1996.
They've mostly been re-issued multiple times and seem to have more bonus tracks added with each outing. A lot of them are available via Ebay for £5 or less, so I'd probably just start with whatever you find cheapest and go from there.
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