One of the greatest bands in history. Get all of the albums, now!
Personally, I would recommend getting the albums in chronological order, which is as follows:
Can't Buy A Thrill (1972)
Countdown To Ecstasy (1973)
Pretzel Logic (1974)
Katy Lied (1975)
The Royal Scam (1976)
Aja (1977)
Gaucho (1980)
The Nightfly (1982)
Kamakiriad (1993)
Two Against Nature (2000)
Everything Must Go (2003)
The Nightfly and Kamakiriad were Donald Fagen's solo albums, but they're both very much in the Steely Dan style.
I think (at the moment, anyway) The Royal Scam is my favourite, because it has both great songs, and a lot of energy. Although Aja and Gaucho also had great songs (and more advanced than those on The Royal Scam) they are a more polished, and lacking some of the energy of The Royal Scam.
Becker also did a solo album - "11 Tracks Of Whack", which I haven't heard, maybe someone who has can comment on it. There is also "Showbiz Kids: The Story Of Steely Dan 1972 - 1980", which is essentially a best of, but it has two tracks not on any of the other albums - "FM" and "Here At The Western World", which AFAIK are both from the Aja era, and both great tracks. If you're a mug like me, you'll go out and but that album just for those two songs
Anyway - you have to get all the main albums. IMO, Donald Fagen & Walter Becker are up there along side the greatest songwriting partnerships of the last century.