Start out with the well known guys: Charlie Parker, Miles Davis, John Coltrane, Stan Getz, etc. Not all of them play saxophone but they have guys in their bands that did. From there you can find out who those guys are and see what else they did.
The first jazz album I ever heard was Kind of Blue by Miles Davis (probably one of the most popular jazz albums in history).
Also, here's a big old list if you really want to start a serious collection: http://en.wikipedia.org/wiki/List_of_jazz_saxophonists