They are prog, so they belong here.

Could anyone recommend me a good album to start with? I have listened to the songs they have on myspace, and I was thinking of getting "The Odyssey".

I've been listening Symphony X since '94 and have all original albums.
In my opinion the best Symphony X's album is V - The New Mythology Suite!
So I think that it would be the album for you purchase, but if you purchase The Odyssey album you will be purchasing a good album too...