Well, Comfort is good if you are into a very muffled, low-fi sound!
Steve Albini was responsible for the botched production on that album (and I say botched because I've heard 1st year recording students get better results...Albini had no excuse). The songs are still pretty good, especially Macaque and Screen Man. I'd get it last, and also pick up the CD/DVD combo 'Golden', which is basically a b-sides/demos/history compilation. Good stuff, though.
Magnified is definitely the next album to get...it's right up there with FanPlan in terms of quality, just a little less "spacey" and more melancholy. My fave songs on there are Empty Friend, Frogs, and Bernie. Oh, try listening to Bernie while in the car at twilight in the summertime, with the windows rolled down...hard to describe the feeling I get when I do this. I associate certain songs with certain times of the year...like Suzanne Vega's 'In Liverpool' with a cold winter night.
Also, if you like Magnified, check out both Year of The Rabbit's album and Ken's solo stuff, under the name of On. YOTR is a bit more like Failure, although not as sophisticated, and On is a bit like Failure with lots of synths.
You might want to check out the Replicants CD, a new wave covers side project of Tool, Medicine, and Failure alums, as well as Lusk's album "Free Mars. You might also like music by the group Blinker the Star. All can probably be had for cheap on half.com or Amazon.