Pink Floyd have too many segues to mention - there's one between each and every track on Dark Side Of The Moon except between Great Gig In The Sky and Money and that was because there were on opposite sides of the LP - in the 1974 Empire Pool, Wembley performance of Dark Side I have, Great Gig flows straight into Money with the cash register sound effects entering. The same goes for The Wall, Animals and Wish You Were Here and The Division Bell, although there are also segues on some of their non-conceptual albums, such as the howling wind that links One Of These Days with A Pillow Of Winds on Meddle.
If I am forced to pick one Pink Floyd segue as a favourite, then I will go for one from Dark Side and for the transition between Money and Us And Them, which is an extremely memorable part of the album in its own right as it seamlessly moves from the uptempo blues rock of the former to the much slower, brooding song that follows with some classic spoken words sections (I believe the interviewees were asked 'When did you last get into a fight' and 'Were you in the right', hence answers like 'He was cruising for a bruising' and 'Yes, absolutely in the right').
I also love the transitions between Certain Kind Of Fool - Doolin-Dalton (Instrumental) - Outlaw Man and especially the segue from Twenty-One to Out Of Control (I absolutely love the moment the power chords kick in at the start of the latter) on the Eagles' Desperado album. Also, I've seen Zeppelin's Heartbreaker/Livin' Lovin' Maid get a mention, which I agree is a excellent segue, but I'd also suggest Friends/Celebration Day from Led Zeppelin III.