my three favorites of all time:
Pink Floyd - The Wall. C'mon, did it really take until page 2 for someone to mention this one?
Blind Guardian - Nightfall in Middle-earth. I admire this one for the musical atmosphere it sets up, rather than the story content, since its not original, however lyrically/musically I rank it on par with The Wall as far as perfectly capturing the emotion and mood of the story being told.
Pain of Salvation - Remedy Lane. Very emotionally charged, personal lyrics, great flow and fitting music/story. I actually like The Perfect Element 1 more musically, but as a full concept album goes, I think Remedy Lane is more moving.
Honorable mentions:
Genesis - The Lamb Lies Down on Broadway. Mostly for the way the music flows, because the story doesn't make a whole lot of sense at all.
Ayreon - The Human Equation. I love the interplay between the different roles, and theres some great musical themes throughout.
Dream Theater - Scenes From a Memory. Thematically and musically excellent, lyrically bland.
Pain of Salvation - The Perfect Element 1. See comment with Remedy Lane.
To be honest, most concept albums I hear fail to really captivate and immerse me, which is a shame, because by their nature a concept album has the potential to be the ultimate expression of music and story.