My favorite is My Arms, Your Hearse for two reasons. One, I just love the sound of that album above anything else they've released so far. It's so cold and sorrowful, but still has injections of beauty and warmth. I also love the flexibility of the concept. It's rather sketchy (which adds to the albums cold ambiguity) so I can relate the basic outline of it to personal problems and experiences.
It seems there's some confusion on how it ends. My interpretation of it is that at Credence, the protagonist finally accepts that he will never be able to be with his lover again so (in Karma) he leaves all the things of his past life behind and find the way to cross over into the afterlife. Along the way he frightens many a traveler, hence "Amidst the forest, one would hear that I had been there.." In Epilogue, because of it's peaceful atmosphere, I interpreted that he has finally found Heaven/Valhalla/The Elysian Fields/etc. It's the classic story of the soul caught in limbo because he cannot let go of his former life. When he finally does, he finds peace. I feel it can be translated to one's own personal life in the form of coming to terms with pains and misfortunes that one cannot change and moving on to find happier things.
