Siamese Dream is the band at their peak, start there and go in this order:
Mellon Collie and the Infinite Sadness - great album, but too daunting for a first-timer. it's like telling someone to listen to The Wall over Dark Side first
Adore - the electronic craziness of the late '90s
Gish - the grungetastic debut
Machina I: The Machines of God - the last official Pumpkins release, there are some very good songs on here (Raindrops and Sunshowers, Wound...) and a few classics (Age of Innocence, Stand Inside Your Love), but it's lukewarm overall.
Then look for Machina II, it's kind of hard.