Every song is a story, at its essence. The best songs, and the best stories, continue to intrigue and spawn new thoughts long after you've last heard it. The best stories don't always tie up loose ends, but know which ends to tie up so you can be left to attempt to tie up the rest yourself. Such has often been the problem with concept albums - they attempt to do too much and leave the listener with too little when it's over.
Concept albums are nothing new. The Beatles, the Mothers of Invention, The Who and any handful of others in the mid-late 60s mastered the art of the concept album in such a way that nearly renders pointless anything else produced after them. Whether an explicit story is laid out for listeners, as in the case of The Who's Tommy, or just a collection of themes, be they musical or lyrical as in the case of Sgt. Pepper's Lonely Hearts Club Band, the important fact is that they have left something important behind, something to nag the listeners not only into listening more (and hopefully buying more of the bands' music to help unravel the mysteries) but to think more about what has just occupied the past hour or more of their lives. Because music has to function differently than a book or a story, it's more important to keep 'em coming back for more. The story can suffer a bit if, in the end, they do keep returning. Crafting a novel shouldn't be so difficult for people who already tell stories well, but often it's the fact that liberties can be taken in a short story that sets up a satisfying end. Songs allow the songwriter to cut corners to make the end suit the means, but when you string them all together the listener depends on the author presenting him or herself as a reliable, trustworthy source.