I only have 3 Marillion albums so I'm no anorak, but I can say that you should first try and see which singer you like better, the original one Fish or Steve Hogarth a.k.a. H. As Mick stated, H is the better singer, while Fish is sort of like Peter Gabriel was in Genesis, quirky but compelling. This analogy is especially fitting since Marillion is similar to old Genesis musically.
For what it's worth, my favorite of the albums I own is 1994's Brave. It helps that it's a concept album, since I always tend to enjoy those. H's singing is very emotive on it too.
