Pioneers of Jazz Guitar (Challenge) - This is a 24 track collection of Eddie Lang, Carl Kress and Dick McDounough playing in solo and duo settings. These are examples of the original jazz guitar tradition. All jazz guitar starts here.
Hittin' on All Six (Proper) - This $20 dollar, 4-CD set is a fantastic value, AND it's an essential collection of early jazz guitar. It has a pretty scattershot sampling of some artists, but has so many great tracks, and many that you'd otherwise have to buy a whole CD to get one track. Plus the liner notes are informative and the personel is listed on everything. NOTE: Since it's been discontinued, you might have to search around the internet a bit to find it - but it's totally worth it.
Swing to Bop: Guitars in Flight 1939-1947 (Hep) - This collection has a bunch of lesser known guitarists, while not duplicating too many tunes that are easily found elsewhere. Allan Reuss's solo on "Pickin' for Patsy," Al Casey's solo on "Buck Jumpin'," and the early Les Paul tunes are all indespensible.
Charlie Christian: The Genius of the Electric Guitar (Columbia Legacy) - The complete Charlie Christian / Benny Goodman studio takes - all of them. The liner notes are fantastic, and the rehersals and unreleased takes are very illustrative.
Charlie Christian: Complete Live Recordings (Definitive) - This 4 CD Box Set is all of the CC airchecks and jam sessions at Minton's. Add this to the Columbia box and you've got all of CC's recordings, except for his random sideman work with other artists such as Lionel Hampton, Edmund Hall, etc. Plus, it has my absolute favorite version of "Stardust" from a 1939 jam session.
Oscar Aleman: Swing Guitar Masterpieces 1937-1957 (Acoustic) - This 2 CD set contains the most Oscar Aleman recordings available outside of Argentina. For those unfamiliar, Oscar was an Argentine contemporary of Django Reinhardt, who also played in Josephine Baker's band. He's a creole finger-style version of Django, and totally badass. Here, go listen to this in the mean time.