Hmm, if you're going to start to dive into Joy Division, go with their version of "Substance" first. As great as the box set is, it can be a bit over whelming with all the demos and live tracks.
The best way to describe Joy Division would be like putting punk rock, new wave, and dare I say "goth" into a blender and serving it the rainiest day possible. It's very sad, very Nihilistic, and very insightful. Honestly, I think they should be a warning lable on their albums, it has that much of an effect on you.
But that's all part of the JD-NO experience. First you get into New Order, then Joy Division. After obsessing over them, you'll be sitting on your computer staring at eBay for hours trying to hunt down all the side projects.
Still, most music collectors are very obsessive compulsive people, so take caution before getting into Joy Division. The more you find out about Ian Curtis, it's like the more he and his visions become a part of you.