Nigh impossible, but I'd say:
Dream Theater - Scenes from a Memory
Trans Siberian Orchestra - Beethoven's Last Night
Queensryche - Operation:Mindcrime
Honorable mentions for all the other Savatage concepts, the Wardruna ones, the Virgin Steele ones (House of Atreus act I mainly), and Ayreon's The Human Equation. Oh, and Kamelot's Epica!!! and Cellar Darling's The Spell. And Elveking's Reader of the Runes - Divination. Gah, so many
Also, do Avantasia albums can be considered concepts? they are, but the story is very loose and you can't really follow it.