So what’s on your list? I have a million, but I’ll start small for now. If you don’t have the following albums, your music collection is not complete:
Beck - Odelay
Operation Ivy - Energy
Modest Mouse - Moon and Antarctica
Pink Floyd - Dark Side of the Moon
Yo La Tengo - I Can Hear the Heart Beating as One
My music collection will never be complete, especially since 95% of the albums or bands these threads invariably generate mentions for are albums/groups I’ve never heard of.
Johnny Cash - Solitary Man.
The Who - My Generation, Baba O’riley.
The Beatles - Revolution, All you need is love.
Pink Floyd - Another Brick in the Wall.
More that I’m forgetting to list, because… what was I saying now?
Really, just get the Anthology of all of 'em. 
That’s really the whole point of the thread. To bring to light albums that you just HAVE to hear.
“Switched-On Bach” - Wendy Carlos (the erstwhile Walter)
“Moods for a Stormy Night” - Mystic Moods Orchestra
“Jesus Christ Superstar” - The album with Deep Purple’s Ian Gillan as Jesus
“The White Album” - The Beatles
“Time Out” and “Time Further Out” - Dave Brubeck Quartet and Quintet
(try to count along with Unsquare Dance!
“The Royal Fireworks Music” - Neville Mariner and the Academy of St. Martin’s In the Fields.
These are just a few. I’ll pop back in later with more…
Quasi
My music collection is complete.
Complete nonsense! AHAHAHAHAHAHAHA!!!
I don’t like music much. I don’t even have iTunes or an MP3 player!!
My meagre collection is eclectic and rarely played; People come away from my CD shelf looking very confused indeed.
In no particular order:
Kind of Blue by Miles Davis
#1 Record by Big Star
Black Sheep Boy by Okkervil River
Tommy by the Who
Tres Hombres by ZZ Top
I’m Wide Awake, It’s Morning by Bright Eyes
If I Should Fall From Grace With God by the Pogues
Four words:
Wham!
Make
It
Big
Everyone should do what this guy did. Get everything.
If you don’t have everything, your music collection is not complete.
Showdown! by Albert Collins, Johnny Copeland, and Robert Cray
Among the best blues albums I’ve ever heard.
The Allman Brothers Live at Fillmore East
Among the best blues albums I’ve ever heard.
Virtually any Stevie Ray Vaughan album you can get ahold of.
I’ll echo Miles Davis’s Kind of Blue
I’m also partial to jazz musicians such as Dexter Gordon (saw him play at Blues Alley in the early 80s…what a show), Cannonball Adderly, Art Tatum, Charlie Parker, and others of that ilk.
There are a number of them that I can’t recall or decide. I guess a good criterion is what album, if you lost it, would you be willing to re-purchase because it’s that important? (There ought to be a specific word for lending something out and never getting it back… foreloan, maybe?)
Right now all I can think of is Massive Attack’s ‘Protection’ and ‘Blue Lines’. I have lost and repurchased those multiple times. I think the years will bear these out to be classics, if not yet already.
Metallica - Master of Puppets
N.W.A, - Straight Outta Compton
Rolling Stones - Exile On Mainstreet
Nirvana - Nevermind
Robert Johnson - The Complete Collection
The Sex Pistols - Nevermind the Bollocks
AC/DC - Back In Black
Beastie Boys - Check Your Head
Dr. Dre - The Chronic
Jimi Hendrix - Electric Ladyland
The Velvet Underground - The Velvet Underground & Nico
I’ll stop there but there are others that the rest of SDMBers will cover.
Tom Petty, Wildflowers. Every moment on this album is perfect.
Pink Floyd, Live at Pompeii.
Led Zeppelin, III.
Beck, Midnight Vultures.
In my own idiosyncratic opinion…
Electric Light Orchestra, Out of the Blue
The Beatles, Sgt. Pepper’s Lonely Hearts Club Band
Dario Marianelli, soundtrack, Pride & Prejudice
Johnny Cash, Greatest Hits
Alan Parsons Project, Turn of A Friendly Card
Booker T. Jones, The Cool Dude
Glenn Gould, J.S. Bach’s Piano Concertos (any collection)
Mormon Tabernacle Choir, Handel’s Messiah
I will second Redfrost’s suggestion:
Exile on Main Street - The Rolling Stones
Iron Maiden: The Number of the Beast
Black Sabbath: Paranoid, Heaven and Hell
Opeth: Blackwater Park
Queensryche: Operation: Mindcrime
Dream Theater: Images and Words
You gotta have:
Fleetwood Mac: Rumours
Johnny Cash: Live at Folsum Prison
Eagles: Greatest Hits Vol. 1 and 2
Metallica: The Black Album
Green Day: American Idiot
Don’t make me quote the Dude. 
I heartily stand by my statement!
And let me add:
Guns N’ Roses: Appetite for Destruction
Smashing Pumpkins: Siamese Dream
I think I have seven of the albums mentioned so far.
I don’t have the Led Zeppelin or Pink Floyd albums that others have said, but I nominate the fourth Led Zeppelin album and Wish You Were Here.
AC/DC Back in Black
Yes Fragile
REM Automatic for the People
Portishead Dummy
Nine Inch Nails Pretty Hate Machine
Radiohead OK Computer
Counting Crows August and Everything After
Alanis Morissette Jagged Little Pill
Matchbox 20 Yourself or Someone Like You
(These are not my *favorite *albums–some of them I don’t even like much.)