Dream theater's albums have had this 'epic' sprawl to them that I can't explain. I+W and Awake evoked powerful emotion through their abstract cover art, and listening to the albums, I remember it felt like a big adventure or a story, even if the songs themselves were unrelated. I miss that, and very few bands can do that. Craft an entire mood through album art and song style.
Other examples: The Jester Race, Still Life, The Wall, Mellon Collie and The Infinite Sadness, Operation: Mindcrime, Hellbilly Deluxe, Down II.