Tbh
Anathema is a band i don't really know where you should start.
They got so many great albums, and even though they all have different sounds, it hasn't really changed like "OMG WHAT HAPPEND?" between 2 albums, the result is that their latest 4-5 (maybe 6?) albums are really solid, and share several things when it comes to the music.
Personally, the first song i heard by them was
Fragile Dreams. (the reason behind this, was that it was their most played song on Lastfm, so i decided to start with it).
After that, i tried to get into
Alternative 4, but i was very impatient at the time, and got disappointed that the following tracks didn't sound like FD at all, since that was the track i first heard and loved.
I moved on to
Judgement (since it was the most played album on lastfm), and i liked it.
But i decided to really give them a chance, and after like 10-11 plays of the album in 2-3 days, i loved it.
It was a bit hard to get into for me, not because the music was difficult or anything, but because one of the things that is typical for
Anathema imo is the tiny subtle things.
A song doesn't have to sound extremely difficult or technical, but if you listen to it carefully a few times, you realize like "wow, whats that guitar-solo?" or w/e.
Overall, this band has so many great albums/songs, and it's not really a question of where you start, just give the band time and listen to albums several times.
They will grow, and you will love it.