Their sound has changed a bit over the years, so it depends on what you are looking for. At The Heart of Winter is my favourite of the 5 I have. It's probably their thrashiest album (or maybe Blizzard Beasts, but that one isn't as epic), but it also has the best songwriting. Sons of Northern Darkness is another good choice, though it's a bit more refined than ATHOW.
If you are looking for some old-school black metal sounds, their first two are the way to go, but Battles In The North is by far the best mix between their old and new sound. I would go in the following order: At The Heart of Winter, Battles In The North, Sons of Northern Darkness, Blizzard Beasts, All Shall Fall.
I can't really comment about the other albums other than their general sound.