Agree! Anything by Pink Floyd.
Starting with Dark Side of the Moon, each of their albums had it's own theme.
Wish You Were Here, Animals, The Wall.
Each song led into the next making them true albums that had to be listened to in their entirety. It was not just a bunch of songs thrown together.
Before Dark Side, all of their albums had the same theme. Acid. They worked too, but you had to be on acid while listening.