I posted this hastily last night, but I feel I have to expand on this.
I love lyrically conceptual albums. I really do. All 5 of Coheed's albums tell a sci-fi story that begins with a mother/father who have to kill their own children (extreme circumstances), then it turns out they were lied to and didn't have to do it. One child is not at home when this happens and decides to eventually get revenge after some initial debating. The story then takes an incredibly surreal turn and becomes more and more intricate as it develops.
It's a new prog band, that started out with a unique alternative sound. Very underrated and not very well known, even though all albums have received widespread critical acclaim.
Initially I hated the band. The sound was incredibly rough, and this might be because the quality of recording present in the first two albums probably was not top notch. After about 3/4 listens it grew on me. Claudio Sanchez's high pitched voice might take some getting used to, but it really becomes incredibly enjoyable seen in context of an entire album.
Here's probably their most famous song:
And here's my favourite song:
The above is the live version, because of the aforementioned hiccup some may have with the recording quality of the the second album.
EDIT: Sigh I just realised the quality of above isn't too good. Should still give you some idea of what they sound like.
So if you want to give them a listen, and you are like me and have to listen to the albums in order, do it, but the sound will take some getting used to. Otherwise try Good Apollo, I'm Burning Star IV, Volume One: From Fear Through the Eyes of Madness (third album) first. Otherwise, you can always try and get your hands on the Neverender live versions of the first two albums.
EDIT:
Also, not one of my favourite bands, but probably one of the best albums I've heard, is De-Loused in the Comatorium by The Mars Volta, another new prog band. Also a concept album. Harsh riffs and excellent drumming. And so damn energetic. I hate the rest of their albums though.