Sun Ra's vast catalogue can be pretty intimidating for those who aren't already initiated in his cosmic ways. It's hard to know where exactly to begin. Well, you could do worse than Heliocentric Worlds vol. 1. If I remember what I read in Ekkehard Jost's great book "Free Jazz", this album was recorded after a period of intense and secluded rehearsals with the Arkestra. The entire album is completely improvised, but don't let that fool you; there is an amazing sense of structure. What is remarkable to me is the dichotomy between the amount of freedom which Sun Ra gives his players and the amazing degree to which he is able to dictate the shape and mood of each piece. Like Ellington, he is able to evoke the sounds he wants just by a glance or a nod. As well, his own keyboard style is quite effective, especially the celeste(!) work near the end.
I recommend Heliocentric Worlds to anyone interested in Sun Ra or jazz of the 1960s.