I think it's a step beyond all-killer-no-filler. There's something about several albums that have been mentioned here:

Jeff Wayne's Musical Version of H.G. Wells' War of the Worlds
Marillion, Misplaced Childhoold
Jethro Tull, A Passion Play, Thick as a Brick
Dream Theater, Scenes from a Memory

etc. that just require one to listen to them in their entirety.

Mine:

Slowdive, Just for a Day
Tool, Lateralus
Shotgun Messiah, Violent New Breed
Skinny Puppy, Too Dark Park (although I usually resequence it as 6-10,1-5)
most live albums (Rush's All the World's a Stage comes to mind as one I would never play in anything less than its entirety)