If you're worried about buying something you don't like, then this might help.
You can get their latest album, The Slip, completely for free here:
http://theslip.nin.com
You can get Ghosts 1 for free from here:
http://ghosts.nin.com/main/order_options
You can listen to their entire catalog (snippets and full songs) here:
http://www.nin.com/listen/