https://en.wikipedia.org/wiki/Concept_album
They're like a movie; they have a story to tell. Try Pink Floyd - The Wall.
* David Bowie - _The Rise and Fall of Ziggy Stardust and the Spiders From Mars_ (1972)
* The Who - _Quadrophenia_ (1973)
* Pink Floyd - _The Dark Side of the Moon_ (1973)
* The Streets - _A Grand Don't Come for Free_ (2004)
Certainly a lot of artists put out albums with a lot of "filler" material, but if I was a new listener trying to pick up (say) David Bowie or Steely Dan or Sufjan Stevens I might miss out on a richer experience by not listening to the whole albums and just skipping to the hits and familiar songs.
It is also quite satisfying to put on a cohesive album that can be enjoyed from start to finish.