I love concept albums. I even did a paper on Tommy for a junior-year comp. class.
Some of my favorites:
*Brave-Marillion. Absolutely beautiful music throughout, with sprinklings of very cool rock stuff and amazing solos from Rothery. About a girl found on a bridge, who refused to speak and could not be ID'd. The album explores possible ways she may have come to the bridge.
*Operation: Mindcrime-Queensryche. One of my favorites by a band I can normally take or leave. Not much actual "prog" on this album, those NWOBHM influences take over, but its fine, because the music is AWESOME. Speak is a song I don't think gets enough praise.
*Wish You Were Here-Pink Floyd. I consider this the best album of all time. Musings of the band's feelings about the departure of Syd Barrett, and where he was after they had achieved success with Dark Side of the Moon.
*The Coheed & Cambria Discography. I'd feel bad not listing one of their albums but neglecting the others. Basically, its a hugely complicated space opera with lots of long names for things. Basically the BBEG Supreme Tri-Mage William Ryan has taken over the keywork, which controls the orbits of all the planets in the galaxy. He hears that a child of Coheed & Cambria could destroy the keywork. He doesn't like that, so his general Mayo tricks the two into killing their own children before he kidnaps them and they do a lot of stuff I'm not clear about. One son escapes, Claudio. He is The Crowing (aka Chosen One) who goes out to destroy the keywork, and bring the end of the galaxy as a result. I'm not quite clear on the whole thing.
*Days of Future Passed-The Moody Blues. An orchestral rock album that goes through the day of the average man.
Hope you check them out and love them as much as I do.