A friend told me about Dream Theater - Images and Words shortly after it came out, and before they really became famous. So I guess that's it unless you count Iron Maiden.
I didn't discover prog until the winter of 2004/2005. Out of the stuff I bought first, I'd have to say my first real prog metal album was Dream Theater's "Train of Thought".
I guess it was Dream Theater "When Dream & Day Unite"...I'm getting old and can't remember if there were any more bands considered progressive metal back then.