I’ll second the accolades for The Lamb Lies Down on Broadway and Dark Side of the Moon, though I’ve always thought The Wall was overrated. I prefer Wish You Were Here.
Marcus Garvey, by Burning Spear, the reggae album which should be in everyone’s collection,
Autobahn and Man Machine by Kraftwerk,
I just downloaded (legally) Mekanik Destructiw Kommandoh, by Magma, so I haven’t listened to it enough times to rate it as a favorite. However, it did blow me away when I first listened to it, so I’m going to give it a mention. I surely will be adding more of them to my collection.
The Black Saint and the Sinner Lady, by Charles Mingus
A Love Supreme, by John Coltrane
Nothingface by Voivod
and though nearly every album the Residents make is a concept album, the only one that really consistently worked for me was Commercial Album. I must admit I have not heard all of their albums, however.