I haven't heard too many. But..
1: Opeth - MAYH. It's not all fancy, and it's solid. And it has songs with silent lyrics. And it doesn't get all cheesey and reflective at the end.
This is mostly true for Still Life also, but that one isn't quite as solid a concept album. If you didn't pay much attention, you might never know it was a story. But MAYH, you know something's up. It has endcap songs, the lyrics are all one big paragraph, and songs end with the name of the next song.
And then in no special order, 2-5:
Opeth - Still Life
Dream Theater - SFAM
Pain of Salvation - One Hour by the Concrete Lake
Pain of Salvation - The Perfect Element Pt. 1