Like others in this thread, I can't think of one particular album that is my absolute favorite, so instead I will list a few that I really enjoy and give a few of the reasons why I enjoy them.
Frank Zappa - Civilization Phaze III. It's a concept album that in terms of style lies somewhere in-between electronic music and avant-garde classical music, all composed on the Synclavier (a synthesizer/sequencer used by several musicians in the 80s and 90s). There are also some world music influences (Tuvan throat singing and Asian-sounding plucked strings on the second disc) and a whole lot of spoken word dialogue interspersed between the actual musical tracks (after all, it is a concept album). It's not an easy listen, and it's definitely for those who want to hear complicated music, but if you are already a fan of Frank Zappa, there's a chance you will enjoy this one (unless you specifically dislike synthesizer-based music).
Swans - Soundtracks for the Blind. It's a double album (two discs), and according to Wikipedia it was intended to function as a "soundtrack for a non-existent film." If you are not familiar with Swans, they are an experimental group whose music ranges from minimalistic no-wave sounds to post-rock to just plain weirdness. This album encompasses all of that, but does a particularly good job at showing off the band's weirder side. A few of the tracks on the second disc of the album were genuinely scary for me to listen to (which is a good thing, since I keep coming back to these tracks to experience the fear).
Nine Inch Nails - The Downward Spiral. Another great concept album. It is on the depressive side, but in terms of sound it is really interesting to explore, from the 5/4 time signature on "March of the Pigs" to the machine-gun-like noises on "Reptile". And Trent Reznor was apparently heavily influenced by David Bowie while making this album (he took ideas from Low and also subconsciously took some ideas from "Crystal Japan" while composing "A Warm Place".
The Residents - Not Available. This is once again an album that could be considered a concept album (I think I really do have a thing for concept albums). I think I like this album just because it's so bizarre. There are moments that sound beautiful, and then I hear the shriek of "ship's goin' down!".
Y Kant Tori Read (Self-Titled Album). I like Tori Amos, and this is my favorite album of hers. Not that I dislike her piano playing or her experimental works, but no album blew my mind as much as this one. There are some seriously groovy bass lines and great synth sounds (I'm a sucker for 80s synths, no matter how dated they may seem), and they work great with her voice.
Yanni - Heart of Midnight. This actually is not really an album but a soundtrack to a movie from 1989. If you like dark music and 80s sounds, this is a great album. Also, if you think of Yanni and think of "cheesy New Age music" that would be best accompanied by a slideshow of waterfalls and nature imagery, think again. This is something totally different and shows that Yanni really can do much more and is quite skilled at creating horrific and suspenseful moments. On a similar note, I love the Twin Peaks soundtrack (Angelo Badalamenti and David Lynch).
Autechre - Confield. Electronic music that all seems to have a weird, awkward beat, but is strangely hypnotizing. This is an album that you just have to listen, and you will probably either love it or hate it.
ICP - The Great Milenko. I don't consider myself a juggalo, but I have to hand it to Violent J and Shaggy 2 Dope for their creativity an ability to create a whole cult following around their music. It doesn't hurt that they do have some nice production and catchy beats and actually are pretty funny sometimes.
AxCx - Picnic of Love. A notorious grindcore band made this album. Except this album isn't grindcore at all. It's basically soft, folk-influenced acoustic guitar music with hilarious, saccharite falsetto singing.
Anyway, that's all I can think of for now. Like others in this thread, I really enjoy The Dark Side of the Moon and am amazed at how well it flows together. It's an album that, to me, doesn't sound dated at all. The Beach Boys are also excellent and I think more people should listen to them and explore their discography (they are much, much more than a bunch of guys singing about surfing and cars).
