I had a couple of interesting experiences:
-Tool - Lateralus
-King Crimson - The Power To Believe
In both cases, I bought the albums at Circuit City (my local store had a decent CD selection back then). I used to frequent the Mike Portnoy forum a lot and both albums were highly recommended. I went and bought them and I was very disappointed and managed to sell them to a college mate. A couple of years later, I came across the albums again at a used CD store and bought them (different months) since the reviews were positive in general. And shit. They clicked! And what a journey these two bands have been. Been following them ever since and try to catch them live when ever they tour. Seen KC since the 2008 reunion and what a treat that was. Been to about 4-5 Tool shows and the live show is stunning.