I've seen only few musicals, but of the few I've seen, they are pretty good:
Tommy (Featuring Music from The Who and starring Roger Daltrey and Ann Margaret. It's Rock Opera at its finest, I think)
Sweeney Todd
Moulin Rouge!
Oklahoma! (Can't ignore the classics. I actually saw this one performed on stage, it was amazing)
Gypsy (Again, another Stage performance. Not bad at all. I can't say a thing for the Bette Midler movie)
Pink Floyd's The Wall (Just saw it, it was perhaps the most chilling musical I've ever seen. Highly Recommended.)
The Rocky Horror Picture Show (If you get a chance to see the stage play, I will envy you, I've only seen the movie multiple times)
Across The Universe (I thought it was heavy-handed in Beatles Music, but I'd still recommend it.)
and while the Olivia Newton-John version of Xanadu isn't considered great, I've heard the stage musical version of it is divine (If you see it, envy will cloud over my head)