Any Pain of Salvation, except Scarsick. Lyrically and musically, very thought provocative.
Any Tool Album in my opinion would work. Opeth is a good band, definitely musically thought provoking if not lyrically.
BIG thumbs up to Spiral Architect - never read the lyrics, but the music will make your head spin.
If you want musically thought provoking metal, I would just look into progressive metal bands.
If you want something lyrically thought provoking, read some poetry. I'm serious, if you are truly looking for thought provoking material, you would be better served there.