Honorable Mentions:

Stone Sour, House of Gold & Bones – Part 1 and Part 2

In between Slipknot’s fourth and fifth albums, Corey Taylor and Jim Root’s band Stone Sour recorded three albums, two of them an interconnected concept album that was released six months apart. Like Coheed and Cambria (see below), the concept of the album lent itself to a comic book. A few interesting personnel notes on the albums:
a) They were the last ones to feature Jim Root, who left the band in 2014, even though he remains in Slipknot.
b) Skid Row bassist Rachel Bolan played on the albums.

Coheed and Cambria, The Afterman: Ascension and The Afterman: Descension

If you want to get technical, pretty much every Coheed and Cambria album is inter-connected, telling the story of the Amory Wars, which is a novel and comic book by frontman Claudio Sanchez. In fact, the band’s third and fourth albums, Good Apollo, I’m Burning Star IV were two albums in 2005 and 2007. We’re getting a little confused just thinking about it. At any rate, the band’s sixth and seventh albums were released in 2011 and 2012. The two albums follow the Amory Wars via the character Sirius Amory. Both albums were rated pretty highly, and the band are working on their follow-up this year.