As already mentioned, both Bruford cd's, UK, his work with Soft Machine, Gong and Ponty are all worth getting. His early solo stuff (Road Games, Metal Fatigue, IOU) is also very good, until he got hold of that horrible 'Synth-axe'.
Not mentioned, but great are;
Anders Johansson, Jens Johansson & Allan Holdsworth - Heavy Machinery
Planet X - Quantum, Holdsworth is only on 3 cuts here, but the rest of the CD is great. Too bad the CD sounds so bad.
Also, if you can find it, UK - Concert Classics. This is a great live performance of UK playing their second album material, before Holdsworth was 'let go' from UK by Wetton (who wanted Holdsworth to play the same solos every night) and UK became a trio (with Bozzio on drums).