Yep, Dream Theater's a great band. I've only been listening to them since 1996 but they were my favourite band for quite a while.
I've gone off them a bit in the last year or so - "Once in a Livetime" (their second live album) left a lot to be desired for me, and so I stopped listening to them for a while in something resembling a protest, although I did by Met 2 and liked it a lot. I think I've gone off prog metal a bit, though, and don't love the long, extended instrumentals as much as I used to.
My favourite album of theirs is probably "Images & Words" (not a dud song on there!) although "Awake" probably has the most songs that I consider to be my favourites - "Voices", "Lifting Shadows Off a Dream", "Space Dye Vest" and especially "Scarred", which has one of the all-time great guitar solos.
Their first album, "When Dream and Day Unite", has good songs on it but the production is lousy and Chuck D's vocals leave a lot to be desired. It has "A Fortune In Lies", "The Killing Hand" and a few other nifty tracks, though, so it's well worth a listen - there's a bootleg called "When Dream and James Unite", or something like that, with live tracks of all of the songs featuring James Labrie on vocals - haven't heard it, though, as I'm not exactly the world's biggest Labrie fan... of his live stuff, anyway
Any questions, let me know - I'll try and answer em!