My advice would be to go to HMV and buy whatever "Multiple CD Set" you can for a reasonable price. Check for the names listed thus far in this thread (great work CP).
Also - CBC's new Jazz Station is nothing short of FANTASTIC. You will have no trouble getting an introduction to stuff you like.
Another warning though....Jazz often leads to the Blues, then to Funk, then to insanity.
And Pylon.....Jazz is awesome when riding through the mountains on two wheels. Like peanut butter and chocolate.
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