I'm with dhwilkin -- I think its best to play something they already know very well, so they can hear the things they've never heard before. Sometimes, it even helps if you know the music well too, so you can point out things that may not be so obvious in a pair of cheapo-phones or loud speakers.
However, I've listened to some of Jude's Patricia Barber CDs, and man alive, that's just some really well recorded stuff, and its fun to listen to as well whether you've heard it before or not.