Well, obviosly I'm a bit biased (I love Steely Dan), but I think every recording is worth owning, for the music alone. The first album, Can't Buy a Thrill isn't of the highest quality, but everything after that is great. Donald Fagen's solo albums, The Nightfly and Kamakiriad are absolutely great, though as far as music goes, Nightfly is incredible.
Here's the complete list of SD albums in chronological order:
Can't Buy a Thrill
Countdown to Ecstasy (this one is different from the two before and after it, as it has more exploration into Latin rhythms)
Pretzel Logic
Katy Lied
The Royal Scam
Aja
Gaucho
Two Against Nature
Everything Must Go