Yah Arrival is amazing, although under the grey clouded winter sky is perhaps even better...argh! Kinda hard for me since this album got me into AA and thus all the songs have a special meaning to me.
True, you can see a change in the lyrical concept in AA's albums. Just like you said the MCD was more centered around the mythology whereas the last one (vs the world) has more of a battle roar to it, like some kind of anger flowing through it.
I voted for The Mighty Doors of the Speargods Hall. It is the first song I heard from the MCD and it's still the first song I play when I put in the album.