I've listened to Cocteau Twins in the past but I feel like I've barely listened to any albums outside of Treasure and Heaven or Las Vegas even though my last.fm says otherwise. I decided to "get more into them" this year, so I'm taking a stab at this. I have a feeling this changes over time.
Heaven or Las Vegas
Treasure
Head Over Heels
Blue Bell Knoll
Victorialand
The Moon and the Melodies
Garlands
Four Calendar Cafe
Milk & Kisses
I don't think any of their albums are necessarily bad, just some less enjoyable than others.