Haven't been too keen on some of Steven Wilson's weirder side projects, but anything by Porcupine Tree and No-Man, and SW's latest solo outing 'Insurgentes', are a must for me. Have seen them quite a few times now; a great live experience.
They do understand their audience's willingness to buy stuff though: every release seem to come in a variety of formats, oftern on staggered release. I have been known to buy the initial CD release, followed by the 5:1 release, and a double vinyl release (and they can be issues in 2-3 varieties). As much as I like the vinyl versions, the 5:1 DVD-A mixes are brilliant.