Steely Dan's story is an amazing one. The band, essentially the songwriting duo of Donald Fagen and Walter Becker, began working together after meeting in 1967 at Bard College in Annandale-on-Hudson, New York. They were English majors. The amazing part is that their musical career, which rivals the most important composers and/or recording artists in popular music history in terms of variety, depth and sophistication (their peers are people like Duke Ellington) was really a creation in large part of their literary backgrounds - or at least would not have been possible without their literary backgrounds.
First, to approach their songs properly, one must recognize that they are essentially short stories (or narrative poems, if you prefer). As a matter of fact, it could be argued that they are as accurate as anything in recent fiction in terms of describing modern sensibilities.
Second, over the course of the nine Steely Dan studio albums, and the five solo albums (three by Fagen, two by Becker), their lyrics have developed at the same rate as their musicianship and recording studio knowledge. In fact, the music may have developed partially as a result of the lyrical growth. (Try to imagine the story told in "Black Cow", for example, without its musical setting.)
Their first album, Can't Buy a Thrill (the title is a line from Dylan's "It Takes a Lot to Laugh, It Takes a Train to Cry") is the best place to begin, and we'll do that tomorrow. Listening: two tracks that didn't make it onto Can't Buy a Thrill - "Sail the Waterway" and "Dallas" - available on YouTube (cf. "Black Cow").