I don't think I have favorite bands anymore. Whenever I find a band I really like, they end up changing their style or all their best songs went into their first coupla albums and they run outa ideas.
Some definite must-have albums though...and yeah, some of these are weird choices.

Supertramp - Crime of the Century: just for the mixing techniques and hidden meanings
Grace Jones - Slave to the Rhythm: I don't like her vocals and a lot of the album has voice overs on the best parts, but if you want something to show off your high end system, just put song #2 on. The music was done by the same guy from the Buggles.
Abba - Gold: If you wanna learn pop songwriting, this is like an owners manual.
Saga - first two albums: synth playing and moog bass pedals back before there was such a thing as sequencers.
FM - first album: same as above
Rush - 2112 and Hemispheres: Classics
Van Halen - First Album: also a classic
Yello - cause they're just weird
Sweet - Desolation boulevard: easy beginner guitar playing
City Boy - awesome guitar playing
Starcastle - awesome guitar playing
Thomas Dolby - excellent synths

... and about 300 other albums too numerous to mention.