Oh, concept albums? I wondered what this thread title meant for a second XD

There have been a few that I really like, including The Hazards of Love by The Decemberists from this year. One of my favourites of 2009.

Other good ones:

Yoshimi Battles the Pink Robots - The Flaming Lips
A Grand Don't Come For Free - The Streets (complete with two possible endings!)
69 Love Songs - The Magnetic Fields (admittedly this is more a common theme rather than a 'story')