Reddit reviews Blues on the Bayou

I started with Ultimate Collection. This gave me the hits and an overall feel for his music.

Since BB King came from an era before studio LPs were really a big thing, most of his best work was released as singles. King of the Blues is a brilliant, very comprehensive box set that helps in tidying things up, although since it was compiled in 1992 it omits some of his surprisingly good recent work such as Blues on the Bayou, his collaboration with Eric Clapton and One Kind Favor

He must have about 20 live albums out there, almost all are good but Live at the Regal is the most popular. He's (understandably) lost a bit of his touch live recently but it's hard to go wrong with any pre-2000's live album.