I started listening at the very beginning, diving into a few sub-series along the way. Chimes of Midnight is good, as is The One Doctor. Colin Baker really shines in his audios; the all do, really. Peter Davison is a little hard to get used to because he and his companions' voices have aged, as has Bonnie Langford's. Sophie Aldred holds up incredibly well, however, as does Nicola.

Peri and the Piscon Paradox is probably top of my list for a first timer more familiar with the show than the audios. The Benny Summerfield audios are also top notch, although the first series gets VERY dark about halfway through - to be honest, there are really only two extremes for the Benny audios - humorous or depressingly dark.

I've only listened to the first Dalek Empire series, which is also well done, and doesn't require any real Doctor Who continuity knowledge. I just finished Spare Parts, which does an incredible job of capturing the original Mondas Cybermen. Very, very creepy.

Another good one is Holy Terror - excellent story, and it features Frobisher the penguin! His Brooklyn accent is a little dodgy at times, but no worse than many of the Big Finish American accent attempts.

Flip-Flop is remarkably cerebral, concerning aspects of time travel rarely actually visited in the series.

I have yet to listen to one that felt like a waste of time. 

T_O