I have some of her recordings on LP. I would recommend "Anita Sins the Most," "Cool Heat," "anita O'Day and the Three Sounds." Also look for the DVD "Jazz on a Summer's Day"; she is one of the featured performers. You can see clips from that DVD here:
http://www.youtube.com/watch?v=agp2on83hrA
http://www.youtube.com/watch?v=agp2on83hrA