Some of my favourite concept albums in that vein.....

American Interior by Gruff Rhys. Follows the story of 18th century explorer John Evans searching for a lost Welsh tribe in America

Also Gruff's side project Neon Neon - Stainless Style about John Delorean and Praxis Makes Perfect about Italian publisher Giangiacomo Feltrinelli.

Ex-Auteur Luke Haines has some great concept albums like 8 1/2 Psychedelic Mediations on Beitish Wrestling in the late 70's and early 80's . Does exactly what it says on the tin. Or his North Sea Scrolls album.