no.1- S. F. Sorrow - The Pretty Thing of course, nuraber one. The songs are breathtaking, "Balloon Burning" comes to mind here. And you just got to read the lyrics/story, or you'll be missing a lot without it.
no.2- We're only in it for the money - The Mothers of Invention also a classic. Such a tremendous collage, joining the album through the first to the last track. Also, you've got to read the sleeve in that album too.
no.3- Sergeant Pepper's LHCB - Da Beatles it's got to be on the list somewhere. I don't think it can be the best concept album, well hardly a concept album imo. But it still has a back story to it. It's somehow the evolution of these 4 guys into their alter egos.
no.4- The Dark Third - Pure Reason Revolution I'm gonna put that one here, to put some 00's flair into this list. I also got it in the themed comp. trade, so it was the first thing I thought about when "Telling a Story" criteria was mentioned. Really nice.
no.5- L'histoire de Melody Nelson - Serge Gainsbourg the most known Gainsbourg album in the English talking world. Really nice album also, and I couldn't think of any other to complete my list. [Didn't want to put The Wall, so overrated story/album]
That was fun.
Top 5 depressing mellow songs.
Edit: Damn! I spent so much time thinking of my list jtwilliams beat me to it. I'm still pretty proud of my list.