I just listened to Pink Floyd's The Wall for the first time in a long time. In contrast, I listen to their Dark Side of the Moon, Animals, and Wish You Were Here more often. And now I think I know why.
The Wall is brilliant on the whole, but in order to tell the whole story, it has to end up containing more filler. Some of the songs are not really songs but just "stage business," as it were. (Actually, The Who's Tommy suffers from the same problem.) The other three Floyd albums I mentioned above are all pretty much filler-free: every track is a great piece of music in its own right, and not just part of the storyline.