Yep - He has a "Best of" and "Actual Miles" which are both greatest hits albums. That's where I always like to start, but these are the hits, not the deep tracks. My personal favorite albums in order of preference are: 1) The End of the Innocence; 2) I Can't Stand Still; 3) Building the Perfect Beast, and 4) Inside Job.
Just a side note - we have celebration threads for almost all of the Eagles and solo albums in their respective forums if you want to read some Borderers' opinions of various songs and albums. However, it does take a little time to go through them. You just have to take it slow - one song on one album at a time.