Gone too soon, same with me. My first (from what I remember) was Invincible in 2003. I didn't even know he was still creating music shortly before then. I loved the album and it grew more on me daily.
You really can't go wrong with any album but I will say, you need to show him the short film Ghosts. That is amazing. Even show him some of the rare music like Escape and For All Time, and Serious Effect and .. what is the one he does with the guy from Queen? Just give a bit of a history lesson on him. Get him to see the music videos (I know he didnt like the word videos but that's what I call em). They show so much about him and what he stood for.
OH and show him Shout, and Come together. Those really opened my eyes to the range he can play. Also Dirty Diana, the video, shows he could be more of a rocker than most people would think.
If he still wants to see more, show him his poetry from Dancing the Dream. Show him his acting in Bad (the full version). Show him The Wiz and Moonwalker. Show him his artwork.
Such an amazingly well rounded, fascinating man.