And All That Could Have Been is basically a live album. Is it the two disc set or the single disc? The second disc is new stuff.
There was a change in NIN's music - they went from being kinda 'thrashy' to being more melodic. The Fragile was the first of the softer albums. So it depends what you like.
You want noisy stuff, look for The Downward Spiral. You want something more mellow go with The Fragile. In terms of tracks, my favourites are 'Heresy', 'Ruiner', 'Happiness in Slavery' and 'The Great Below'. I would go out and buy 'The Downward Spiral' if I were you.