Desertshore is good too, but reaches levels of misery which make it a tough listen.
I'm not an expert in her later records but from what I have heard there is nothing to touch those two.
So far I like Desertshore.
Nico Icon is all up on youtube, well worth a watch
None of her records are as good as her songs with the Velvet Underground though
'Songs they never play on the radio' is a cracking read. Written by one of her backing band which gives all the squalid details of their tours.
Like most people I discovered Nico through the VU but it wasn't until years later when I got round to listening to Desertshore and The End that I really just absolutely fell in love with her. Those two albums for me are her absolute masterpieces and I would genuinely include them in any list of my all time favourite albums. Desertshore just gets the nod but only because of the title track of The End, which yes is a cover of the Doors song (and it kind of goes for it so in a way is as good as it can be but I still always skip it).
Marble Index for me is great too although I didn't 'get it' until after discovering Desertshore/The End. Also I think the first two tracks are the ones I still like the least so I had to get passed that.
Chelsea Girl is great but of course a different proposition, basically all the tracks could have slotted onto the Velvets album. So also fantastic but in a very different way.
Having said all that the trilogy of Marble, Desert, End are bleak as hell so I understand completely that they are probably not for everyone.
Her last two albums aren't at all terrible either just somewhat musically not to my taste, I think they could have been pretty amazing if just stripped back to vocals and harmonium.