I have Origin of Symmetry, and Black Holes and Revelations. I personally liked BHaR better, but that's because OoS sounds a little too much like Radiohead's The Bends.
Be on the lookout for The Resistance! It comes out this month, and they've already released a single, as well as some being leaked (you can find United States of Eurasia (+Collateral Damage) on Youtube; it sounds like Queen.)
Really, all Muse CD's are excellent, it really depends on what you're looking for. Origins of Symmetry has more of that prog-rock feel, Absolution has a lot of piano and strings, and Black Holes and Revelations has a couple more pop-ish songs. I think Showbiz is a great place to start, it has a lot of great songs and is similar to Origins of Symmetry in sound. Absolution was my first Muse CD... still my favorite, too. Also, their new album The Resistance is equally amazing, with a similar collection of sounds like those found on Black Holes. Really you can't go wrong with any of their albums! Good luck, and enjoy the Muse journey!
Since my last post, I've had the opportunity to hear all but their first one ("Showbiz"). Here's my thoughts on each one (in order of release - and bear in mind that I only discovered Muse a couple years ago and I obviously have different tastes than other people):
Origin of Symmetry is loud, pompous, and is their big breakthrough album. It sounds as gritty as Metallica or any other punk/metal band. The lyrics match well with Radiohead's OK Computer or a George Orwell novel (though honestly, most of their lyrics are "the gov. is out to get you"). It's probably their masterpiece (though not my favorite) - Pitchfork labeled it as #2 on their "best-of 2000's" if I remember right.
Absolution arrived a couple days ago for me, and I've only heard it a couple times. It's not as loud as OoS, but it's a bit more polished. Think "sophomore slump" and then put it in a good way - since OoS was their breakthough, this counts as a follow-up.
Black Holes and Revelations is my favorite - it's also the first I heard from them (actually, I heard "Supermassive Black Hole" along with everyone else at "Twilight" - that was the first time I had heard of Muse). I think it's their most polished work to date - it's great all the way through.
The Resistance...art rock! They included a LOT of string arrangements in this one, as well as some more diverse influences (the first 2 sound like Radiohead - this one clearly has some Queen influence). It ends with a symphony which I think is the best song (it's the last 3 tracks on the album). The album as a whole could probably count as a rock opera, though it's not really a concept album.
All in all, it depends on what genre you like. They're all solid, consistent albums (though a lot of people don't really like their new one). They started their career as a really loud band, and they've quieted down somewhat, but I don't think they've lost their energy. Good luck!