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JAZZ Wynton Marsalis: Think of One. . . . (Columbia FC 38641.) Released almost simultaneously with his first classical record (see the classical section of this guide) but more in keeping with his reputation as a young lion among improvisers, Marsalis' new jazz disk ranges from the lyrical to the explosive, from the homegrown to the exotic, from sidelong glances at ''fusion'' sounds to wholesome explorations of time-tested ''mainstream'' riffs. His group has the rare ability to set its own rules as it swings along, generating one surprise after another without muddling the compositional integrity, improvisational freedom, or sheer foot-stomping momentum of each number. As a soloist, Marsalis knows every little step between fast and slow, loud and soft, funky and smooth, and he knows transitions can be as witty as they are functional. He also knows how to lead and integrate an ensemble, guiding each number but stepping aside often enough for every sideman (especially his brother, sax player Branford Marsalis) to shine brightly on his own. Marsalis' years with such mentors as Art Blakey and sundry Miles Davis cohorts have been well spent. The whole world of jazz seems to be at his fingertips.