I’m not sure if this exactly fits what you’re looking for, but the following 5 albums by The Dear Hunter are connected through a shared storyline ^[1]:

1. Act I: The Lake South, The River North ^[2]
2. Act II: The Meaning of, and All Things Regarding Ms. Leading ^[3]
3. Act III: Life and Death ^[4]
4. Act IV: Rebirth in Reprise ^[5]
5. Act V: Hymns with the Devil in Confessional ^[6]

Megadeth with Hanger 18 and later in their career Return to Hanger.

They’re not that popular compared to Pink Floyd or David Bowie, but there’s a band called The Dear Hunter that have 5 albums called Act I through Act V that are one continuous story of a guy’s life.

So in that sense every song on those albums are a sequel and prequel to every other, but some of the musical themes and motifs are more obviously reintroduced, referenced, and re-applied in new contexts as the albums go on.

They have albums that aren’t those 5, which are not in the canon, by the way.

Judy is a Punk and Return of Jackie &Judy by the Ramones. Also Havana Affair and This Ain’t Havana by the Ramones.

Sandstorm by Darude has a song right before it on his album called “the calm before the storm” and I actually enjoy it quite a bit.

Primus has the four Fisherman’s Chronicles songs.

1. John the Fisherman
2. Fish On
3. The Ol’ Diamondback Sturgeon
4. Last Salmon Man

Another thing that might count as an example is that Wings’ Band on the Run and Helen Wheels both mention a character named Sailor Sam.

Edit: Added to post.

Dream Theater has a song called Metropolis Part 1. Originally they didn’t plan to have any additional parts, but it worked out that eventually they decided to follow it up. Instead of a single song, they did a whole album: Metropolis Part 2: Scenes from a Memory. And I think it’s their best work.

Anecdotally, I’ve heard The Police’s Synchronicity II on the radio way, way more than Synchronicity I. They’re both bangers though.

David Bowie wrote a continuation to “Space Oddity” (“Ashes to Ashes”) and the original also inspired a few songs by other artists that directly reference it (“Major Tom (Coming Home)” by Peter Schilling, “Hallo Spaceboy” by Pet Shop Boys).

Opeth - Patterns in the Ivy and Patterns in the Ivy II. The latter is so beautiful, could’ve easily been on BWP too imo

Tool Parabol - Parabola

Not really super well know ones, but:

Marianas Trench - Masterpiece Theatre album has Masterpiece Theatre I, II, and III on it. My favorite album of theirs. The songs from this album actually permeate the rest of their albums after this one.

Sleeping With Sirens - If you were a movie, this would be your soundtrack. A five part musical of sorts that’s really well done.

Rise Against’s I Was A Teenage Anarchist feels a lot like a sequel to their Baby, I’m An Anarchist.

Thomas D. of the German hip hop group Die fantastischen Vier has added more and more songs to his warrior trilogy over the years.

1. Krieger
2. Millionen Legionen
3. Mein Schwert

Tool - Parabol / Parabola Tool - Intermission / Jimmy (although probably among their less popular songs)