I'm not sure if the Chicago show is a good starting place for anyone interested in Bill Hicks. It's funny, for sure, but only if one knows what Bill was about. Otherwise, hearing a dude yell "I'm a drunk cunt! I can't say whatever I want because I have a pussy!" might not be the most enlightening experience.
Rant in E Minor is absolutely brutal as well. It was the first CD I bought by him and it took me a while to warm up to. Now I consider it his best. But the earlier albums, I think, offer a better introduction to his core material.