I think my discovey was still through the TV series. I had a few nerdy friends in college, and they were watching this really old quirky TV show on the dorm TV when I'd go over there... and I just had to know what it was because I'd never seen anything quite like it.
As was with the Garden, curiosity was my downfall... and thus was I corrupted and damned.
I will always have a super-warm spot in my heart for the "
Pirates of the Crimson Permanent Assurance" short from MoL: God, that was beautiful... and then the re-visit later in the film.
But Grail was probably the first full-length movie of theirs that I saw; the first time I saw the ending, I was like WTF... now I think it's hilarious.
EDIT: Oh, I've also seen Spam-a-Lot locally, it was pretty well-done.