Start with Mellon Collie...

If you like the heavier, more rock side of it, move to Siamese Dream next...
OR
If you like the chiller, calmer, acoustic side, go Adore next.

If you absolutely love Mellon Collie, then definitely check out it's companion The Aeroplane Flies High.

If you like Siamese Dream and/or Gish, you will probably like Pisces Iscariot as it's their b-side collection.

I'd save Machina for last.