I don't think the order in which I heard each album has impacted my opinion much. I was smitten not long after ACoS was released, so I've heard everything since then upon release. My favorites are 6DoIT, SFAM, Awake, and I&W (in no particular order). I think their last few albums have been a tad stale, but I know I'm not alone in that opinion.
Images and Words
A Change of Seasons
Awake
When Dream and Day Unite
Falling into Infinity (on release)
Scenes from a Memory (on release)
Six Degrees of Inner Turbulance (on release)
Train of Thought (on release)
Octavarium (on release)
Systematic Chaos (on release)
Black Clouds & Silver Linings (on release)