This is the only one I have by VU maybe I should look into the box set
If Loaded is the only thing you know from the band, the box set may be a bit much. The box contains the four studio albums, a rehearsal tape that dates before the first album (I've heard the rehearsal tape, it's no big deal), an alternate mix for the third album, and loads of outtakes.
The second album, "White Light/White Heat" is, in places, pretty tough to get through. If you like Loaded, you should get "VU" (picture of a VU meter on the cover). Released in the mid-80s, its mostly stuff they were working on for the fourth record. I also highly recommend the third record, "The Velvet Underground" (black and white photo on the cover).