If you're open to all genres, I would suggest Virgin Steele. They have two albums (The House of Atreus Acts I and II) completely based on the story of the Atreidae from Greek mythology.
[ame]http://www.youtube.com/watch?v=9J1dznb1VWY&feature=PlayList&p=DA83B2801C96C56F&playnext_from=PL&playnext=1&index=14[/ame]
[ame]http://www.youtube.com/watch?v=FlMA623ouDc&feature=PlayList&p=DA83B2801C96C56F&playnext_from=PL&index=15&playnext=2[/ame]
And here are some of their songs from other albums that borrow from Greek or Roman mythology/history:
[ame]http://www.youtube.com/watch?v=djkHtk_g-yo&feature=related[/ame]
[ame]http://www.youtube.com/watch?v=_HZtMD4IOGo&feature=related[/ame]
[ame]http://www.youtube.com/watch?v=W41NX80WyRQ&feature=related[/ame]
Also, if you can find their song "A Token of My Hatred" from the album The House of Atreus: Act II anywhere online (I couldn't find it on youtube) check it out; it's mad epic.