Henri de Toulouse-Lautrec was best known for having captured the fin-de-siecle decadence of the end of the 19th century in Paris' bohemian Montmartre district, most notably at the Moulin Rouge cabaret. But he was also accomplished in other media, and the museum does an excellent job at showcasing his prolific career.
The palace is also worth visiting for its architecture—don't miss the chance to visit the Ambois Wing, with its beautifully adorned 15th-century ceilings. If you want to go with a guide, consider a private tour to Albi, which will give you some flexibility with your visit.