Have you heard his Angels Of Love album? It has lots of what you'd expect from Yngwie, but it is nearly entirely acoustic and très romantique.

It's actually one of the most intensely relaxing albums I own. You don't usually expect to hear that in re an 80's shredder. I usually play stuff like this when people who dislike metal (gasp!) are visiting.

PS: Symphony X is pretty great, too. Reminds me of 80's thrash with a neo-classical accent, and has all the prog elements that make the genre great.