The Muddy Waters, Howling Wolf and Willie Dixon Chess box sets would be a good place to start, for the post-War era. The Willie Dixon box set, as well as another excellent 4 disc Chess Blues box set are available inexpensively from yourmusic.com.
I would also suggest the American Folk Festival of the Blues DVDs--there are four of them now and all are terrific. These were done by the same people who produce the Jazz Icons series.
For pre-war country blues, anything on the Yazoo label is likely to be well done and worthwhile.
For a few specific favorites:
Earl Hooker--The Moon is Rising, There's a Fungus Among Us, Two Bugs and a Roach and Blue Guitar.
Magic Sam--West Side Soul
Albert King--The Blues at Sunrise; The Blues at Sunset.
Robert Ward--Fear No Evil and New Role Soul
Buddy Guy--Stone Crazy; D.J. Play My Blues; I Can't Quit the Blues.
Junior Wells--Hoodoo Man Blues; Pleading the Blues.
Freddie King--the Texas Cannonball; the Very Best of Freddie King (volumes 1 to 3).
Otis Rush--So Many Roads
Fenton Robinson--Somebody Loan Me a Dime and Special Road
Little Walter--Hate to See You Go and the Best of Little Walter
Sonny Boy Williamson--One Way Out and Down and Out Blues.
T Bone Walker--Complete Imperial Recordings
Lonnie Johnson--various OJCs.