This is a tough question because you're looking at 40+ years of Legion history and a couple incarnations.
There is a TP of The Great Darkness Saga, which a lot of fans think is one of the greatest pre-boot (before this current version of Legion) stories.
There is also the TP The Beginning of Tomorrow, which covers the start-up of the current team. It was quite a different tone and style from what's going on now. (I didn't think it was that great but ok for historical purposes.)
If you like grim & gritty, try the first 13 or so issues of the Giffen/Bierbaum Legion, from 1989 - also called the 5 Years Later series, because it tells the story of the Legion when they reunited after splitting up for 5 years. Personally, I didn't find it grim - it's my favorite version/series.
The current story line really goes back, IMHO, to the Space Rift/Legion of the Damned & Legion Lost stories, which immediately preceded The Legion #1. Some of these issues ain't cheap, especially Legion Lost.
There's also the Archives, 12 hardcover books which go back to the original Legion in the 1960s. For diehard fans, great stories, great nostalgia & a little hard on the pocketbook. Many of us bemoan the lack of Legion trade paperbacks. A chicken in every pot and a Legion in every household, I say!