Uhhh... Morningrise does seem to have some sort of loose concept running through it, but I can't decypher any actual story. It does (roughly) start with "the night sets forever" and end with "awaiting the sunrise", "the coldest morning", which suggests to me that it may take place all during one long night. Nectar includes the line "cannot bid farewell", which of course suggests a chronological continuity with the last track. And, most of the lyrics seem to dwell on the emotional byproduct of the hypothetical protagonist's relationship with, the cause of all known emotional torment, a female.
MAYH is definately a ghost story of some kind, and also seems to have a lost love lamentation (Oooh, alliteration!) theme running through it... especially noticeable with "Credence"... I'm feeling too lazy to read through the lyrics right now...
Oh, and listening to Opeth albums in bed, with the headphones on, is the only true way to experience Opeth at it's fullest.