modest mouse is, and has been, my favorite band for quite a few years now. liking their music is not what i'd call a common occurence. i personally own almost every piece of vinyl and cd that they've ever put out.
the lonesome crowded west was the first album i got and i have to say it's still my favorite. they got mention even on stereophile because of their latest "the moon and antarctica" and i really do like it, but it doesn't have the same lo-fi feel that i love. lonesome crowded west is also an hdcd, for those interested. most of their stuff can be purchsed from updirect.com for very cheap, but their last couple releases have been on sony/epic so you might be able to find those more easily. i still keep dreaming of an sacd release.
i first saw modest mouse live only a year or two ago, and i have since seen them two more times. i really love them, but i'll just come out and say it: they are not a great live band. they are notoriously drunk at all of their live shows, but their setlists are usually pretty awesome. last tour i saw they had this crazy video playing on a screen behind them that was exceptionally odd but sort of interesting at the same time heh. this was their tour though. i never ever miss a chance to see my favorite band live, but i don't think that seeing them live will get you into their music if that's what you're hoping.
my list of suggestions to listen to before seeing them live:
trailer trash
cowboy dan
broke
i came as a rat
wild pack of family dogs (often a closer for them)
dramamine
night on the sun