All of them are wonderful, although Three is my least favorite. I think my favorites are Grand National and Live at St. Gallen. I have downloaded some live shows also from archive.org and I love them also. They are such an amazing live band.
I think that Grand National and Sunrise Over Sea are both great places to start. They don't really play much from Three. Actually, I think the only song they really play that aren't from GN or SOS would be "Ocean" which is just John's solo piece. It is a beautiful song, though.