I am not a super knowledgeable theory-head like some people here, and I don't always take the time to analyze something I enjoy (in fact sometimes I avoid that on purpose). But I'm a sucker for a song in natural minor with a key change to the fourth or fifth for some sections. I also enjoy modes (Phrygian and Dorian) that imply that kind of modulation and then maybe resolve to it. The Phrygian melody near the end of "Midnight Tango" on Al Di Meola's Elegant Gypsy album gets stuck in my head for days at a time. And speaking of Dorian, I really like minor chord progressions that use a major add-9 on the dominant. Really just give me all the perfect fifths. Stack em up.
The prog and fusion I like has internal modulation but not necessarily wholesale "key changes" in the song structure. I think I gravitate more towards overlapping patterns and cool polyrhythms than a specific tonality, as long as it doesn't sound too happy or toothless. Helps to have an interesting/heavy head section. "After The Cosmic Rain" by Return To Forever, "Nyctaphobia" by Eleventh House, "Playing The Game" by Gentle Giant, "Red" by King Crimson.