After you've dealt with Man Erg's recommendations, his 3 final albums are also worth checking out.
Shiny Beast was the first to come out and is up there with TMR and Decals.
Doc at the Radar Station and Ice Cream For Crow are slightly lesser works, but still remarkable.
There are loads of live albums, compilations etc, which are of very patchy quality. I May Be Hungry But I sure Ain't Weird is Strictly Personal (the second official release) with some extra tracks and alternate takes and is well worth picking up.
You may also enjoy Bongo Fury, a Zappa/Beefheart live album recorded in 1976, not a classic but it has its moments.