I'm a huge CJ fan, too. Saw them most recently at Kent State last year, small hall, very nice. Margo stuck around for questions, coffee and autographs.
No offense but Trinity Sessions isn't their first album, just their most famous (and yes, a must have). A wonderfully recorded album before it (1986) is Whites Off Earth Now and has been rereleased as a hybrid SACD. It features a "live" ambisonic microphone recording of blues/rock classics and some originals, and is as dynamic a recording as you'll ever hear. Another fave is Lay It Down, but each of these three picks are as different as they can be (bluesy electric garage, acoustic unplugged, folk/rock-oriented produced). Once you get into Trinity, then the newest Trinity Revisited is a nice well, um, revisit.
Their website is fun, informative, and has lots of downloads and special stuff occasionally.