In chronological order,I is the first album,which tells the story of the man/boy running from his family to a forest where he finds a friend. They start playing games,the last one being a hanging game,during which the main characters new friend dies. The guy grieves for him a while,tries to kill himself,but fails and then returns back home to his shitty life.
The Breathing Shadow happens after a pretty long time,seventeen years if I can remember right,after I. In that one the character is well used to his life again but then this guy he killed starts making kind of a connection with him in his sleep,and then it's alleged that he falls into coma or something like that and this gypsy woman saves him,but a little later after he leaves her place the shadow (the guy who he kind of killed seventeen years ago in I) takes over his body and hangs him with the same rope in the same forest.
The Closing Chronicles is where the main character who got hanged in the end of The Breathing Shadow is in this void,a limbo of some sort,and the guy who he killed in the first place has taken over his body and is alive in his body. So the gypsy woman seduces the guy who has taken over her friend's body and becomes pregnant,in hope of giving life to her friend who is in the limbo. At the end of the album (in Alive Again (the song)) the gypsy woman is giving birth to her son,and her friend's soul is reincarnated in him. The guy who is in the main character's old body realizes this and leaves the hell away.
As for the recent album,Alive Again,the story takes a big turn there. I don't have the cd nor the lyrics so I won't really start on that,I've just read what Dan has said which didn't exactly all come through to me.
So I hope that helps,I know it seems pretty complicated. It's not that simple to explain it either...you should read the big Swanö interview that's on the LotFP site,done sometime in 2002. It explains the storyline before Alive Again and another interview done with Swanö in 2003,I think,on the same site explains the story for Alive Again.
Too much time on my hands.