some are more story driven than others, but I don't know how much that means to you
Flaming Row - Elinoire
Seventh Wonder - Mercy Falls
Aeon Zen - Enigma (the first part of the album seems to at least be linked, although I couldn't tell you the first thing about the story)
Headspace - I Am Anonymous
Savatage - Streets, Wake of Magellan, Dead Winter Dead
Shadow Gallery - Tyranny, Room V
Riverside - Out of Myself, Second Life Syndrome, Rapid Eye Movement
Pain of Salvation - The Perfect Element, Remedy Lane
Queensryche - Operation: Mindcrime
Of course there are classics like Tommy, The Wall, etc