Gryphon's Red Queen to Gryphon Three is an instrumental concept album
And a good one, too!
Porcupine Tree - Voyage 34 is about a group of people who take LSD.
Green Carnation - Light of Day, Day of Darkness.
Opeth - Ghost Reveries, with the exception of Hours of Wealth, I think.
Opeth - My Arms, Your Hearse is about a ghost who doesn't know he's dead.
The Flower Kings - Garden of Dreams, the first disc anyway.
King Crimson - In The Wake Of Poseidon has lyrics written inspired by the cover painting.
IQ - Subterranea
Transatlantic - The Whirlwind, not exactly sure what it's about, though..
The Tangent - Not As Good As The Book
Evergrey - In Search of Truth is about alien abduction
Scar Symmetry - The Holographic Universe based on the book of the same name.
Genesis - Selling England By The Pound
Kamalot - The Black Halo, which if I understand correctly is about good vs. evil.
Gentle Giant - In a Glass House is, I think, based on the phrase "never throw stones near a glass house."