Crooked Rain. Then Pig Lib, which he recorded with the Jicks (tied with Wowee Zowee as my favorite). It's a psych folk/prog-via-Television album that's endlessly fascinating and fun. The guitar playing is stellar.
Face the Truth (a very diverse record with incredible lyrics), and Real Emotional Trash (long epic jams) are also great. His solo stuff is vastly underappreciated and it's all part of one train. He played everything but drums on the Pavement records, so it was basically already a solo project.
http://www.youtube.com/watch?v=O8UypOF6nSs
http://www.youtube.com/watch?v=YiWyWxcCT4Y
http://www.youtube.com/watch?v=hBE99HiE3NE
http://www.youtube.com/watch?v=ZH9Iv0VI6LU
http://www.youtube.com/watch?v=tvvCY69oqjo
Here are two great Jicks bootlegs:
DOWNLOAD - Stephen Malkmus & The Jicks - 2007-01-20 - The Crystal Ballroom - Portland,OR - Home - The Steam Engine
This one is from a few months before they recorded Real Emotional Trash and features most of the songs and the best version of Malkmus' best song, It Kills. Janet Weiss from Sleater Kinney is on the drums and it's pretty heavy.
Download Malkmus - 20030518 Lee's Place, Toronto, Ontario.rar from Sendspace.com - send big files the easy way
Toronto, 2003. They play most of Pig Lib, and they're better than the album. Awesome stuff.
Brighten the Corners is great but fairly mellow and lacking in the improvised zaniness of Wowee Zowee, so if you're really into that it might not be your favorite. It is really good though, and the bonus tracks on the reissue are amazing.
Slanted and Enchanted is perfect, but it may as well be by a different band. It sounds nothing like what they did later. It has my all-time favorite Pavement track, In The Mouth A Desert.
Pavement - In The Mouth A Desert - YouTube
Really, you can't go wrong with anything he's recorded, though Terror Twilight and Stephen Malkmus are slighly less good. The former was produced by Nigel Goderich and has a sheen that doesn't fit Pavement at all, but the songs are mostly very good, if a bit flat. SM is a collection of solid pop songs, but it's a bit basic. It does have Church on White though, which is devastating. A very un-Malkmus trait, that, which makes it all the more powerful.
http://www.youtube.com/watch?v=4P9oDf79V-0