I am a fan of rock operas. They are progressive by nature, and often tell a pretty decent story. Two that you should definitely check out are Solo Scriptura and The Protomen.
Solo Scriptura is a concept album by Neal Morse. He played in Spocks Beard, a prog rock band and Transatlantic. Both are very great bands (for some), and feature 20+ minute long songs. Sola Scriptura is a retelling of the Martin Luther story. It has an amazing all star lineup of musicians. On drums, Mike Portnoy just tears it up, as does Paul Gilbert on guitar (Obviously, I mean he is inhuman). Randy George is no slouch on the bass guitar, either. If you like this kind of music, you have to listen to it.
The Protomen's self titled album is an absolutely compelling retelling of the Megaman Franchise of games. Yes, I said that correctly. Originally I was very sceptical, but it is a just amazing album, from beginning to end. They cover a lot of ground, musically. There are new wave elements, along with industrial, hardcore, and even Ennio Morricone moments. Seriously. It was one of the most enjoyable ~35 minutes I have ever partook in. They released a follow up, but I haven't listened to it through yet.