I started listening to U2 in 1992-3 and started with Joshua Tree and Rattle & Hum. However, then realising that both albums were, frankly Bloody Amazing, I then went out and bought the entire back catalogue.
You'll find, as you get to know their music better, that each album is, if you like, a flag or marker of their career to date. with that in mind you might say that all their albums are 'Must Haves'. But that probably doesn't help you right now, does it?
I would probably go for something like this,
Must have straight away:- Joshua Tree, R&H, Achtung Baby, War(Listen t