I'd suggest to get one of these tree albums: The Fragile, Year Zero or Ghosts I–IV. These are the albums that stand out to me most, but in my opinion, virtually everything by NIN is great in one way or another. As I read, some here wrote that their lyrics are bad, pathetic and whatnot, but I can't at all agree to this. It really depends on what you like, what mood you are in, what you're inclined in and so on - so nobody can objectively assess the value of their lyrics. But hey, isn't it the same with every other case? You either like it or you don't, that's all there is to it.
Here are some examples from the aforementioned albums:
La Mer (from The Fragile),
Another Version of the Truth (From Year Zero) and
28 Ghosts IV (Live) (from Ghosts I–IV).
To me, La mer is one of the most beautiful songs I've ever herd. The song from Year Zero, "Another Version of the Truth" is also truly great in my opinion, and if you'd like to know what it means, check
this out (click on the image, hold the mousebutton and move it). There's a whole series of such websites accompanying and explaining the story of Year Zero; it's really a great concept album. One thing made me grin and think "wow!": near the end of the album he sings "all the black is really white, if you believe it", and since the disc has a heat-sensitive thermo-chrome surface it looks black when you put it in (cold), and after playback the disc is white because of heat. Well, and the last track from Ghosts pretty much shows that this man isn't afraid to evolve. He matured, and how he matured is great, if you ask me. I certainly am looking forward to his next studio album.