Get Divine Wings of Tragedy, Twilight in Olympus or V - The New Mythology Suite.
They're what most fans would rate (along with Odyssey of course) as their best works. I believe Damnation Game to be equally good, but it took me a little longer to get in to. As for the self-titled effort, I'd say make sure you like their other stuff first. They had a different vocalist - Rod Tyler, who is... different compared to Russell Allen.
So yeah, pick one of Divine Wings, Twilight or V. I'd personally recommend V. Some would say that Divine Wings is closest in style to the Odyssey, but I find that every album is unique and has its own special characteristics within the distinct sound that is Symphony X.
On the other hand, if you've got plenty of cash, I'd say get the entire discography - you can get the first four in a special edition digipack for a reasonable price from the
Symphony X merchandise page and pick up V while you're there. Oh, and the live album of course. And join the fanclub - the cd should be out soon.