King Crimson - The band that pretty much started progressive rock and still the best - In The Court Of The Crimson King, Larks Tongues In Aspic and Red are essential listens.
Genesis - a band of two eras, both pretty good. The Peter Gabriel era has some of the best songs in the prog cannon with Selling England By The Pound, Foxtrot and The Lamb Lies Down On Broadway being essential listens. The Phil Collins era merged the catchiness of pop music with the complicated compositions of prog with essential listenings being A Trick Of The Tail, Wind And Wuthering, Abacab and the self titled. If you like live stuff than Genesis Live and Seconds Out are great listens.
Yes - Maybe the most beloved prog band due to writing catchy songs without compromising their progness - The Yes Album, Close To The Edge and Fragile are essential listens.
Gentle Giant - One of the strangest of the prog bands with unique vocal harmonies and compositions inspired by medieval music. Octopus and Free Hand are essential listens.
Emerson, Lake And Palmer - a band synonymous with arena prog, they were easily the biggest prog band during the genre's peak in the 70s. Essential listens are Brain Salad Surgery, Pictures At An Exhibition and the first album, which is self titled.