You can listen to these albums by clicking on the links.

Cocteau Twins

Their earlier work has a very mystical feel about it. They were pioneers in the field of ethereal music. Many of their earlier albums are on the 4AD label. The following are some of their major works.

BBC sessions boxed set This set combines some of their best work.
Four Calendar Cafe This album is not their best work in my opinion, however you may feel differently. You can listen to it by clicking above.
Garlands This album is a must have for Cocteau Twins fans and people who like ethereal sounds. It is mysterious and hypnotic. It will help take you to the Realm of Faerie.
 
 

Head Over Heals This album is very dreamy and has an other worldly feel about it. I highly recommend it, and it is one of my favorites.
Heaven or Las Vegas
Milk and Kisses
Otherness (EP)
Treasure I highly recommend this album also.
Twinlights
Victorialand
Moon & The Melodies [IMPORT] This album is the result of a collaboration between Harold Budd (who is a master of ambient music and soundscapes) and the Cocteau Twins. It is really a unique work for both Budd and the Cocteau Twins. Anyone who likes Harold Budd or the Cocteau Twins should have this album as part of their collection. 
 

Delerium

This is a band on the Nettwerk label in Canada that is very innovative in making electronic music. Their newer albums like Semantic Spaces, Karma, and Poem are very dreamy and mystical sounding. They transport the listener to another world of beauty and sound. I highly recommend these last two albums.

Semantic Spaces
 
 

Karma

This band was formed by Bari-Bari (Barry Galvin), formerly of Christian Death fame. Many of the musicians who have played with them on and off had also played in the old Christian Death. This has the classic sound of Christian Death guitar work with a more ethereal dreamy feel to it. They sing many songs about spirits and elementals. They also put the great poems to music.

Immersion

Terra Regina