Personally I much prefer MSG to UFO. I don't know any of the compilations but I would try to get one with that contains tracks like Armed and Ready, Into the Arena and Attack of the mad axeman.
UFO has a really good live album - I'll have to find the name as I have not listened to it in many years. It has great versions of Lights out in London and Rock Bottom on it. A lot of UFO studio albums don't cut it as they are too sterile but the live album I'm thinking of it pretty cool.