Many would not consider it progressive rock but Marilyn Manson's Antichrist Superstar is a brilliant story through song about the dangers of fame (told through much metaphor and allegory). It came out as a CD and thus was represented as a complete work, not just a side. Production and sound quality are excellent as well. Not everyone's cup of tea, but if you aren't familiar with it and want to try something different, check it out.
It's too bad that it was his/their creative peak so early in the band's time. They went from kind of schlocky shock rock to this amazing work and back again, never reaching the songwriting quality and mature expression they achieved with Antichrist Superstar.
When all of your wishes are granted, many of your dreams will be destroyed.