I think the double-disc deluxe edition version of Celebration might be a good place to start. I mean, the truth is that no compilation album will ever do her legacy justice (her catalogue's got such an immense vastness to it; she really has experimented with SO many different sounds), but it's a good place to start because it contains music from just about every moment of her career. You'll get a little taste of every album, so plotting your next move will become a little easier.
Keep in mind that her albums are really consistent and that oftentimes the singles aren't even the best songs, so don't feel as though taking the greatest hits route first will take the fun out of checking out the albums themselves.
My first Madonna album was Ray of Light, with Music and American Life (The Immaculate Collection as well) following shortly thereafter. By that point, I was completely hooked, so filling in all of the pieces afterwards was a total breeze. I really miss getting into her music. Those days were tons of fun and I look back on them so fondly.