I am asked this question often, and my response is always congruent. There are many ways to build your jazz collection and, admittedly, it can be a daunting task if you're relatively new to the music. But, don't despair because there are a few basic methods to get you on the right track.
1) By artist - you might begin by focusing on a particular artist you like and then branching out from there. For example, if you enjoy Miles Davis, after you've acquired his seminal work, it might be easier on your ear if you then focus on cats he played with such as John Coltrane, Cannonball Adderley, McCoy Tyner, Elvin Jones, Jimmy Cobb, and so forth.
2) By genre - you may have a particular affinity for Swing music of the 1930's, so it would be cool to focus on acquiring key musicians and bands from that period.
3) By instrument - if you love the piano, you might consider starting by buying some key pianists in jazz history such as Ferdinand "Jelly Roll" Morton, Willie "The Lion" Smith, Art Tatum, Count Basie, Duke Ellington, Thelonious Monk, Horace Silver, etc. and then branching out.
4) By timeline - one approach is to "start at the beginning" and move onward. That is, you might consider starting from the earlies recordings made of jazz and move along up until today. To many, this approach is fun because it's an opportunity to see/hear how jazz has developed over time. For example, the early recordings of Original Dixieland Jazz Band in 1917 sound different than many recordings from the 1970's. Obviously, technological changes in recording equipment are responsible for that, but other factors are equally significant. One example is the expansion of different types of instruments and another example is access to knowledge and information about jazz has grown substantially since 1917, thereby impacting how/what musicians play.
Remember, learning about jazz is a life-long pursuit. A lot of the fun for me is learning so much along the way. There's more that I don't know about jazz than what I do and I'm perfectly okay with that. For me, it's the learning that occurs throughout the journey that makes it all the more fun and enlightening.
