The progressive rock genre has been pumping out some AMAZING albums in this millenium.
I can't really put my choices in any order, and I am sure I could add 10 more to the list, easily.
Spock's Beard - Snow (2001). Perfectly produced, written, and played. Neal Morse is a genius, it's a real shame he left the band, as neither he nor The Beard have been the same since.
Rush - Permanent Waves (1977). I could list so many more Rush albums, but this one contains so many Rush classics. Xanadu, Cygnus X-1, Closer to the Heart.
Pain of Salvation - Remedy Lane (2002). Beyond the Pale might be my favorite song of all time. Daniel Gidenlow, maybe my favorite vocalist. This album I listen to probably more than any other album I own. The emotion seethes out of this album at so many points. Beautiful, moving, powerful, easily their best effort to date.
Dream Theater - Six Degrees of Inner Turbulence (2002). It's my avatar, why wouldn't it make the list? If I had a #1 on this list, it'd probably be this album. I could write forever on this album, but I think the best proof of its greatness is in the fact that I've shown at least 12 people that aren't prog fans this album, and I have yet to have less than a rave review.
Queensryche - Operation Mindcrime (1983). THIRD concept album to make my list, I guess I'm just a sucker for a story. This is definitely one of the albums that paved the way for a lot of the other albums on my list.
Best album before the last 30 years: King Crimson - In the Court of the Crimson King.