I'm thinking of albums which have a two songs that are separate but work in cohesion, making them better when listened together. Normally it would be the first song building up to the musical/emotional peak of the second. A few examples:

LCD Soundsytem: "Someone Great" followed by "All My Friends"

Black Flag: "Life of Pain" - "Damaged I"
This one of course has also got a strong lyrical narrative to it. With the excellent dual perspective on drug addiction.

Another more obvious one is Arcade Fire: "Sprawl I (Flatland)" - "Sprawl II (Mountains Beyond Mountains)",
Here its more obviously concious Sprawl I being basically a build up towards Sprawl II, but I would include them as they are both distinct songs in there own right.