How come no one's pitched Salival yet? That's one of the best live albums ever made! It also includes a version of No Quarter (the Led Zep classic) which outstrips the original by far.
Also comes with a DVD/video w. some o their vids, so that's an added bonus.
Amongst the other albums, I agree with what's been said so far. Aenima is, musically, my favourite by far, with Lateralus coming in a very close second. Lyrically/message-wise, I agree that lateralus is the most mature album - Maynard seems to be quite into the esoteric/occult religiosity stuff, inc. Gnosticism, (the comments on flase reality above are bang on...!) which is right up my street, so I'm a bit biased there...
Side note: check alex grey, Lateralus's cover artist - the guy's stuff is amazing!
S