I was thinking about this earlier, too. Used to be I'd trawl the web for album recommendations (honestly, I'd trawl 4chan's /mu/. The recommendations there were mostly always interesting at least and often good) and start with that one album. For a while (and to some extent, still now) I'd grab a discography and start with the very first album. But that has potential issues, too, I think - I haven't moved past Astronautalis' first album, because I love it so much, but the first track I heard from him - the one that made me go get his stuff - was on his latest. I think the hesitance is partly because I don't enjoy his 2nd too much, but I'm reluctant to move on so quickly.

What I'm doing more often now, though, especially when I'm looking for stuff for one of the radio shows, is just grab whatever's free (usually from bandcamp). That stuff, depending on the band, can be singles, EPs, really old stuff, stuff the band doesn't really like or think is their best - or maybe it is their best and they're using it to draw in the crowd - or absolutely everything.

I can't decide which approach to new-to-me artists I prefer, and I'm determined to eventually settle on a particular approach - even though it'll take ages and a few months after that I'm likely to change my mind.