I totally agree with Martin that the Blanton/Webster Band is a great starting place for an Ellington collector, but that material really post-dates the Jungle Band period. I'm sure the 40CD set has all that stuff, but I haven't heard it, so I can't vouch for it. What I have heard that I can recommend is "Early Ellington", the 3CD set on GRP. This set is all the Brunswick and Vocalion recordings from 1926-1931. Some of the 78s used for this set are kind of skanky, but the transfers are clean and it has a 52 page book of liner notes. Better yet is "The Original Edward "Duke" Ellington Hits", 2 volumes on King Records. That set sounds really beautiful, but I have no idea where you'd find a copy at this point. Dave NP: The Original Edward "Duke" Ellington Hits vol.1
Most essential, personally and by general consensus, is his stuff with the so-called Webster/Blanton band, from the late 30s to early 40s. I think there's a two-disc set out called Duke Ellington, The Webster/Blanton Band, or years, or maybe the Blanton/Webster band or years. ... Terrific stuff....