Albums don't have to be in "story form" to be conceptual.

Anyway: (in random order)
Janus - Schlafende Hunde
Orphaned Land - Mabool
Edge of Sanity - Crimson
Edge of Sanity - Crimson II
Angizia - Das Schachbrett des Trommelbuben Zacharias
Angizia - 39 Jahre für den Leierkastenmann
Angizia - Ein Toter fährt gern Ringelspiel
Samsas Traum - a.Ura und das schnecken.Haus
Atrocity - Atlantis (kind of)
Samsas Traum - Oh Luna mein
Haggard - Awaking the Centuries (also "kind of")

And what Crushed Hope said.
I'd also like to add Pain of Salvation's "Be".