Sure, I like The Wall and Sgt. Pepper, but Largo is probably my favorite concept album. What's yours?
If you're not familiar with Largo, go here for a few reviews.
I'm not sure which is my favorite, but my guiltiest pleasure is Marillion's Clutching at Straws. Only Fish can get away with singing this (and so earnestly):
They boarded up the synagogues, Uzis on a street corner
You can't take a photograph of Uzis on a street corner
The DJ resigned today they wouldn't let him have his say
Surface scratched where the needles play, Uzis on a street corner
George: We're Only In It For the Money is still, technically, a Mothers album--which, of course, is Frank Zappa. But, then, we're geeks!
For the record, at the top of this category is the June, 1967, release by that British quartet from Liverpool (and it is a concept album--the very definition of such).