Well the last band that I've 'discovered' I enjoy would be the British prog-rock (in their recent form anyways) band Anathema (by way of the album they released this year We're Here Because We're Here), but since I was essentially introduced to them by someone's intriguing description which was then followed up by a flat out statement to the effect of "You will love this band", it wasn't so much of a discovery as a recommendation.
I can't remember precisely which of the various bands I first encountered semi-recently was the 'last' one that I discovered, so I'm just going to toss out a quirky French progressive rock group that incorporates a full string quartet in the mix, Taal, whom I stumbled onto (without anyone prodding me to do so) a while ago; I've been meaning to share/inflict them upon a broader audience for sometime now and this gives me the perfect opportunity, heh.
I will be genuinely astonished if anyone else who posts in this thread had ever heard of them before.