Symphony X

I just have their Paradise Lost album, but I recommend that.

I just recently got into 'em, too. I picked up Paradise Lost & The Odyssey, they're both pretty good. I think of the two, if I had to suggest one, I'd recommend Paradise Lost, though.
 
The Divine Wings of Tragedy:
Yngwiesque power/prog metal with balls. The album borders on being cheesy, but, at the same time, is the best neo-classical metal album since Rising Force. To me, the album represents the pinnacle of that particular genre.

Twilight in Olympus:
Follows in TDWOT's footsteps. Contains some classic SX songs such as Smoke and Mirrors and Through the Looking Glass, but overall, the album seems a bit bungled. Some of the compositions and especially the sound production would've needed more effort. Still, if you liked TDWOT, you'll like this one.

V - The New Mythology Suite:
Their most progressive and symphonic album and in my opinion, their best. A must have for any prog fan.

The Odyssey:
With this album, SX pretty much ditched the neo-classical arpeggio marathons and moved to a more heavy, riff-oriented direction. The album's grand finale, a 24-minute song called The Odyssey has some serious orchestrations. This track alone is worth the album price. Note: The album has a really dry sound, which makes it easy to discern what the different instruments are playing, but at the same time makes the album sound a bit lifeless IMO.

Paradise Lost:
A yet darker and album. Similar to The Odyssey, but more refined. Symphonic and heavy. The orchestral parts are incredible and Romeo's riffs kill!
 
I think they're like Dream Theater with a MUCH better singer. I'd definitely recommend Paradise Lost.
 
My favorite band, hands down. I would start with their latest (Paradise Lost) and work your way backwards from there. All their albums are worth purchasing, but stay away from the self-titled debut unless you're a HUGE fan. Russell Allen does not sing on that one and the vocals are BAD!
 
Symphony X has remained as one of my personal favourites for years. I pretty much like all their albums, but for first album, maybe Divine Wings. That's what I started with. If you want their most metal album, go with Paradise Lost.