Well I'm a fairly new Symphony X fan, and when I tried them out I listened to their most recent album which is obviously Paradise Lost. It remains my favourite album of them today, or maybe second to V. But you usually find the first album of a band that someone listens and really likes is their favourite (after all DWOT is the favourite of many fans).
Also, when you get a bands albums on hindsight, you can appreciate them in a different way than you do when you wait for it to come out. For example I can listen to Paradise Lost and not be bothered about the fact that it is the heaviest album since I can just listen to any of the others as well. But if you like a band and know its entire discography, then you'll have expectations for the next album to give you a little bit of everything. And when it inevitably highlights only some aspects of the band, some people might find it disappointing that it doesnt focus more on some other aspects.
But anyway, Paradise Lost is still about my favourite. Revelation is probably my favourite song excluding DWOT and The Odyssey, and a lot of the others are among my favourites. Paradise Lost and Eve Of Seduction are probably my next favourites, but really all the tracks are great - The Sacrifice and Set The World On Fire are probably my least favourite, but I still really like them. DWOT and The Odyssey have some of their best tracks, but in my opinion Paradise Lost is more consistent and has the fewest weak links. And it flows really well as an album, almost as well as V, making it great to listen to all the way through.