[Arioch]

To breakdown King Diamond a bit further...

5 songs on Diamond's first post-Mercyful Fate album, Fatal Portrait, are all part of the same story: The Candle, The Jonah, The Portrait, Dressed in White, and Haunted. The next King Diamond album, Abigail, is entirely of the same concept, and is arguably his finest effort. Them and Conspiracy are both the same concept. The Spiders Lullabye and Abigail II are also concept albums, with Abigail II a continuation of Abigail.

Queensryche's Operation: Mindcrime is an opus "rock opera" concept album, followed by Operation: Mindcrime II.

Fates Warning released an album called No Exit, and the entire second side is all of one concept: The Ivory Gate of Dreams (Innocence, Cold Daze, Daylight Dreamers, Quietus, Ivory Tower, Whispers on the Wind, Acquiescence, Retrospect).

For more instrumental "rock opera" themed concepts: Agalloch put 3 songs on Pale Folklore that are connected, "She Painted Fire Across the Sky (parts 1,2, and 3)".

Continuing in the instrumental vein, Burzum released two albums, Daudi Baldrs and Hlioskjalf that are loosely connected concepts, but can be listened to separately.

These are the albums I can think of off the top of my head. I'm sure there are a lot more that I'm forgetting.

Unfortunately, finding complete accompanying videos or movies based on these works is impossible. There were single videos made of some of the songs though and you can probably find them on YouTube.