For example, Pink Floyd's Another Brick in the Wall part 1 and part 2.

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Not really super well know ones, but:

Marianas Trench - Masterpiece Theatre album has Masterpiece Theatre I, II, and III on it. My favorite album of theirs. The songs from this album actually permeate the rest of their albums after this one.

Sleeping With Sirens - If you were a movie, this would be your soundtrack. A five part musical of sorts that's really well done.

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