Not too big of a music fan (or a specific genre/artist at least), but Alan Walker's works are nice. A lot of his songs link to each other (or at least, the fans can make inferences).

For example, Faded's lyrics include:
You were the shadow to my light
Did you feel us?
Another star
You fade away
Afraid our aim is out of sight
Wanna see us
Alight

Where are you now?
Where are you now?
Where are you now?

And then he has a song called "On my way" that comes later.