If you want to listen to Anathema, start from the very beginning (EPs included) and work up to their latest release. Don't jump in somewhere in the middle, or the later albums (even though they are brilliant)
I've been a fan of them since they started, and kept with them until they released Judgement. It's a great album, but the 'Pink Floyd'-iness just didn't sit well with me. I lost interest in them, until they played at Download a few years back. Was absolutely stunned when they played 'A Natural Disaster' and the crowd were just stood there mesmerised. Loved it. So I dug up the 2 albums I'd missed ('A fine day to exit' and 'a natural disaster') and fell for them again. As did my wife....so much, that the cd we brought to the hospital for our daughter's birth had mainly Anathema on it. And she was born while 'A natural disaster' was playing. And we had it played at her naming ceremony a couple of months back.
If you want heavy from them, check out:
A dying wish
Restless Oblivion
Sleepless
If you want rocky from them, check out:
Fragile Dreams
Empty
Pulled Under at 2000 Metres a Second
If you want female lead vocals instead, check out:
J'ai fait une promesse
A natural disaster
If you want something....strange, check out:
Closer
Electricity
And try out Paradise Lost too, if you haven't already. And don't discard anything prior to Icon.....Shades of God & Gothic are both classics too.
