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Paul,
I would consider Marillion my second favorite non-metal "normal" rock band (after Rush). I am an absolute hardcore Marillion fanatic, so I can talk about 'em all day.
Others have discussed the Fish stuff and the fact that there are two eras. Fish was the singer from its commercial beginnings in the early 80s to 1988 and released 4 studio albums. Steve Hogarth has been at the mike since then and with him the band released 8 albums. This means that Steve H has been Marillion's front man twice as long as Fish.
The most important thing to keep in mind when checking out Marillion's recent music (post '95) is that if you're specifically interested in "prog" or art rock, then this isn't for you. They just don't do that anymore. The musicianship is stronger than ever and the song writing is at its peak, but they left the prog trappings a long time ago.
The music they make now is very contemporary pop/rock, intelligently written. Yes, it can be catchy, much to the dismay of old-schoolers. They have also incorporated some of the musical ideas of trance, Brit-pop, and Radiohead.
As for which album to start with, I always recommend the most recent album of a band I like. In Marillion's case, Anoraknophobia is, IMO, their best album ever. Yes, that includes Misplaced Childhood (my favorite Fish album) and Brave (the most "prog" like of the Steve H albums).
Anoraknophobia is simply brilliant. Every song on it sounds great, is performed beautifully, and are both instantly accessible and layered enough to reveal new things on each listen.
Since 1995's Afraid of Sunlight, the band has been working on re-tooling their sound. While all the albums since have been great, Anoraknophobia finds Marillion enjoying the results of their experiments. Here, it all comes together.
So, yeah, start with that one.
My list of must-have Marillion albums:
Script for A Jester's Tear
Misplaced Childhood
Clutching At Straws
Season's End
Brave
Afraid of Sunlight
Marillion.com
Anoroknophobia
A double live album taken from their last tour, Anorak in the UK, is also a great place to start. All of the songs from Anoraknophobia but one are on it, and it lets you hear them live, always their best setting.
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