Myself,I'd suggest you get the live album:'And All That Could Have Been'.It was the last release and just acts like a kind of best-off. Plus,the double disc version has a mini-album called 'Still' which has some of the most beautiful songs I've ever heard. Most of the songs on that disc are piano interpretations of old NIN songs but there are some new songs on it.
If you want something heavy ,though,go with Broken.
Something arty-The Fragile.
Something synth poppy-Pretty Hate Machine.
Something brutal-The Downward Spiral.
Something weird-Further Down the Spiral.
Plus,Further Down the Spiral has some excellant remixes by Coil.