Woodstock is an iconic performance but quite a sloppy one. If you've seen the doc, you can skip the rest. Isle of Wight is a bit unsatisfying, as well -- it's toward the end and not Jimi at his best. Monterey, on the other hand, is worth both listening to and watching. One other live set I'd throw out there is Winterland, a peak Experience period.
And New Rising Sun is worth giving a listen... it's unfinished but a good indication of where he might have been going.
So yeah... start with Gypsys. You don't strike me as a guy who'd want to dig in the archives much. I like the Blues posthumous release, but it's... well, exactly what you'd expect.
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