In this current age of MTV and radio-friendly singles, the quality album is often forgotten. Here is my list of top albums (in no particular order). Keep in mind that I own over 300 CDs, so this top 10 list is very selective.
Savatage--Dead Winter Dead
Savatage--Handful of Rain
Eternity X--The Edge
Pain of Salvation--Remedy Lane
Marillion--Clutching at Straws
Dream Theater--Images and Words
Most of these I consider progressive metal--melodic, complex, even bombastic (think a mix between Metallica and Queen). Marillion is progressive rock with incredible lyrics, Neal Morse is progressive rock/pop/Christian (that particular album is very deep). Evanescence...I'm not sure what it's classified as, but it should be considered progressive rock to some degree. Despite their frequent airplay on the radio, I didn't get into them until my friend Kirk burned their CD for me...guess that shows how much I listen to the radio. Anyway, if you're looking for intense music, those are all great places to start.
Savatage (including side projects such as Trans-Siberian Orchestra, Circle II Circle's first album, Jon Oliva's Pain)
Rush (with the exception of Vapor Trails)
Dream Theater (with the exception of Train of Thought) and side projects including Mullmuzzler and Mike Portnoy's work with Neal Morse
Best local band (Utah--Provo even):
Hourglass (infrequent shows, but a couple of good albums, and their shows, when they have them, are not only a chance to see a good act, but also a great opportunity to run into fellow prog metal fans)