Whether you're a fan of Steve Vai or not, if you haven't listened to "Windows To The Soul" at 10,000 decibels on a good sound system, you're cheating yourself. Another fantastic piece is "Tender Surrender" (yes, that's his real playing, not an overdub).
I remember when he joined Zappa's band. Wow. I've seen him live a few times and there's just nobody like him on guitar. A great composer too.