The Clash, The Stones, Radiohead come to mind.
IMHO: Only two albums were able to sound coherent over a wide range of genre styles but maintained a common theme: The Clash, London Calling,and the Stone's Exile on Main Street. Each song informed the next as a seemless whole.
With a comtemporary band, I also give huge kudos to Radiohead: OK Computer, Amnesiac and Hail to the Thief are not as coherent of playing different styles but work the common theme aspect.