It's a good place to start because:
a. you'll hear their whole career so far.
b. even if you end up buying the lp's the session versions are often quite different (better, in fact).
c. it's often very reasonably priced.
d. the Peel session version of 'Athlete Cured' is the finest, most joyous thing ever recorded. By anyone. It's just a fact.
To b honest, the set really picks up (from my point of view) on disc three - they suddenly go from being very good to being unbeatable at that time.
The other boot (2005) is very good too.
youtube, The Fall's two best singles:
Hit The North
Touch Sensitive