Shepherd shows can be funny, brilliant, cozy and interesting... but can also be closed-minded, long winded, and presumptive -- all in the same show!
I agree, the stuff in the mid 60's are a good place to start. I especially like the air check versions of his shows that include old radio ads and weather and traffic from WOR. It gives it a nice, nostalgic feel.
I can tell you, compared to Shepherd's show, there are a LOT more "W's" than "L's" on the Best Show, but then Shep was doing it every night, not weekly. He was one of the greats, but everyone ain't not unperfect.