I think Live is a good place to start, although it took awhile for me to even get into that. I discovered Blind Guardian through Iced Earth, and their styles aren't exactly the same. Once it clicked, it allowed me to ease into their studio albums. Going from live versions of the Opera tracks to studio is a bit jarring though, so be prepared.
I'd say start with Live, Imaginations, Nightfall, and A Night at the Opera. Personally I'd avoid the first couple. Twilight World is good, but I never really cared for Somewhere Far Beyond. At The Edge of Time is a great return to form after the disappointing Twist in the Myth. The only songs I'd recommend from the first two are Majesty, Valhalla, and Banish from Sanctuary. The studio version of Banish is fine, but the live versions of the other two are where it's at.