Glad to hear you're getting familiar with one of the best bands going in metal. Watershed IS a masterpiece and topped many best of '08 lists to be sure (including mine!) Anyway, I have them all, and yes, they certainly have come a looong way since the days of Orchid! I would rank them in the following manner, although there is not a clunker in the bunch.
1. Watershed - not just cuz it's the newest either, this is just metal on another plane, a beautifully wrought album
2. My Arms, Your Hearse - this was my longstanding favorite of theirs until Watershed took over
3. Still Life - many fans argue this is their shining moment, and rightfully so, a perfect blend of the earlier brutality with the later progressive flairs
4. Ghost Reveries - just before Watershed, I'm probably putting it higher than most fans would, but I absolutely love the riffs and Akerfeldt's singing here
5. Deliverance/Damnation - in case you're not aware, these came out at the same time, a heavy album (Deliverance) and a "light" album (Damnation). I simply put them together in the ranking as I'm not sure where I would put Damnation otherwise, its a mood album to be sure, and a bit of a "side" release, if you will, but absolutely beautiful.
6. Blackwater Park - this is the one that really "broke" the band to a larger audience
7. Morningrise - Obviously still finding their way, but light years ahead of anyone else attempting such lofty goals
8. Orchid - still a good album, but pales in comparison to later output
And there you go, welcome to the world of Opeth, get 'em all, you won't be sorry. Enjoy the show in AZ, and don't forget, the mighty legendary Enslaved are in tow this time around!