The first one that comes to mind for me is Threshold. I was getting into them a couple of years ago and bought nearly their whole discography on Amazon and eBay (mostly from there, as some folks were selling their collections at the time). I like what I've heard, but I think because I got so much at one time, I overwhelmed myself and just have not gone back to really dive into their stuff.
I did the same thing with Marillion circa 2006, and just could not get into them. When I finally did, a couple years later, I bought A LOT of their stuff, and I have a lot of club CDs and DVDs (some rare ones, too, that I bought on eBay for more than I probably should have spent for Marillion at the time), some of which I'm sure I haven't even watched yet. I really enjoy Marillion, but I probably do not love them as much as my collection of their stuff would show.
Also gonna throw in Jethro Tull as well - I own 8 of their first 11 studio albums. Like Threshold, I like what I've heard, but I just never really got into them. I bought most of those albums when I was getting into prog rock, and was buying a lot of albums from those 70's bands, but bands like Genesis, Yes, King Crimson, and ELP just stuck with me a lot more than Tull, for one reason or another. I have tried to go back and give them another shot, but that was a few years ago. I have been listening to bands' full (mostly studio) discographies over the last couple of months (first ELP, then King Crimson, Yes, Genesis, Kansas, and now Pink Floyd), so I may throw on Tull next, just to see if they click this time.
Along those same lines as Tull, I just remembered I could probably throw in Deep Purple as well. I should really go back and listen to those albums too...
-Marc.