I am not a fan of most of the Fish-era stuff, so I certainly wouldn't recommed Script or Fugazi (but FWIW, they did 'Script' live at the last convention and 'Fugazi' (the songs) at this one), but Marillion are indeed a fantastic band. I think Anorak and Marbles have some of their strongest material to date, but it really depends on your tastes as to what I would recommend starting with. They're so very diverse.
As for Radiation, though it seems to be the red-headed stepchild of Marillion albums, the material they did live went over great--they played some real surprising stuff from it, including Born to Run and Now She'll Never Know. they also played AFWFTD, which is intensely moving... you should have heard the crowd singing "or you could love..." Chill bumps just remembering!! And, if you can count it as being from Radiation and if my memory can be trusted, because I can still hardly believe it, they also did the Big Beat version of Memory of Water...!!
As for attending a convention, it's like comparing a regular show with ProgPower... no comparison. If you ever get a chance, go, Kyle, though I have my doubts as to how likely a US convention is. They're apparently talking of doing another one next November, and there's been some talk of Holland but I suspect it will be in England again. Regardless, it's well worth it. Much like ProgPower, I'd miss one only if I couldn't possibly help it. Been to all 3 so far and have loved every one. In addition to the 2 DVDs of AoS and Brave live, they released one this weekend called Wish You Were Here which features other performances and sundry other items from the first two conventions. It was only 25 pounds and is 4 discs.
As for Marbles catching on... it took a few spins but it caught me. Neverland is so fantastic live. Now *that* album has some moving material too. Hell, I could talk about Marillion all day, so I'll shut up now.
Shaye