May not be exactly what you want, but Jesu's first album is great "thinking" music because you can just float away into your own mind while listening to it.
Yeah, I guess. Hammerheart is a well-written concept album in that you have to think about the lyrics to figure out the concept.
I guess.
I'll just list some concept albums with well-written lyrics.
Emperor - Prometheus (deals with the Promethean myth, obviously, and the idea of a self-sacrificial prophet)
Suspyre - A Great Divide
Iron Maiden - Seventh Son Of A Seventh Son (I guess) based off the Orson Scott Card novel Seventh Son
And not a concept album but the lyrics to Dark Tranquility's the Gallery are well written and intelligent and bear scrutiny
If I want stuff to think about I read a book, though.
Really good "fusionmetal" from the members of the IMO not good bands Cynic and Textures. The record is filled with awesomeness, so go get it now! (if you like "thinking" metal)