love this thread...
love the radiohead, and pumpkins references-- and of course the Blue Oyster Cult.
This may be stretching it a bit but what about REM? i don't believe they actually have an album they call a concept, but i hear many many related themes in them. even their songs in general sometimes chronalize (idk if thats a word) entire passages of history, and of course "man on the moon" being about andy kaughman. maybe i just think these guys need more credit.
also speaking of the smashing pumpkins, melancholy and the infinite sadness i believe is a loose concept album, and just generally excellent.
if anyone likes the band say anything, about a boy was supposed to be a concept album but never realized its full potential, the songs are linked somewhat though.