I'd often suggest that doing an artist chronologically is the best way, but as everyone else has been saying, this is especially the case with the Captain. Jumping in at the deep end with Trout Mask is likely to put you off buying anything else. Following the recordings as they get more and more out-there gives a sense of why the Captain was doing what he was doing, and then by the time you get to Trout Mask Replica you'll be as ready as anyone can be to take it! Besides, Safe As Milk (which is where you'd start chronologically) is great, gruff blues-pop with tunes you can dance around the room to.
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