Nine Inch Nails - The Downward Spiral
Nine Inch Nails - The Fragile
Nine Inch Nails - Year Zero
I was gonna come in and say those, but there you go, being all awesome and shit before me. Anyway, a few other favorites of mine:
Poe -
Haunted: Possibly my favorite album in the history of ever, it's sorta two concepts (Maybe more) all wrapped up together. One is the story of a woman coming to forgive and accept her father after his death, the other is sort of the soundtrack to her brother's book
House of Leaves (Also a good book in its own right). There, I've done my monthly pimping of this album.
Queens of the Stone Age -
Songs for the Deaf: This album is pretty much just a drive around SoCal late at night flipping between different radio stations. Probably the simplest concept album I've ever heard, and goddammit does it work.
Marilyn Manson -
Antichrist Superstar,
Mechanical Animals,
Holy Wood (In the Shadow of the Valley of Death: A 3-CD cycle, told in reverse, of a disaffected young boy who grows up to attain the rock superstardom he always dreamed about, only to find that nothing has changed, he's just as lonely and unwanted as before, so he destroys the world. Probably not everybody's cup of tea, but there'll always be a soft spot in my heart for these three albums.
Barenaked Ladies -
Maroon: About a guy who becomes a huge rock star but alienates everyone he cared about on the way up. Comes back to try and make amends, and gets hit by a car. Typical BNL humour, in other words.