I was gonna make a thread about how much I think Sonic Youth kicks ass. Honestly, everything this band has done is amazing. Except for Broken Social Scene, I really haven't listened to ANYTHING else other than Daydream Nation, Dirty, Evol, Sonic Nurse and some individual SY songs for the past three weeks. I'm not kidding... I'm literally hooked.
Zero - get the extended version of The Diamond Sea from SY's official website. I'm pretty sure that's one of the best alternative rock songs ever recorded. It's just amazing. That's the best song to start with IMO. And get the one at the bottom of the list - you don't want the edited version! The "alt ending" mp3 is like a half an hour long... and it's GREAT.
http://www.sonicyouth.com/mp3/index.html - Also get Disappearer, My Arena, Hey Joni and Silver Rocket - and anything else... but keep in mind that for a lot of Sonic Youth songs, you don't "get" them right away. They're really clever in how they embed a melody inside of the noise... the first time I heard Teen Age Riot, I thought "shit, this song is so bland and boring". The second and third time, though, I was loving it.
Also, don't hesitate to get the songs "100%", "Shadow of a Doubt", "Star Power", "Teen Age Riot" and "Unmade Bed" on your own.
I love Sonic Youth. I haven't heard everything yet (that will take quite some time), but I wouldn't surprise myself if they end up being like one of my top three favorite bands of all time.