I have a weakness for songs with stories in them. (I'd use the word ballad, but I'm not sure the encompasses everything.) Some of my favorites are about vengeance. Examples: The Decemberists' long pursuit of vengeance in "The Mariner's Revenge Song", Gillian Welch's short, instant vengeance in "Caleb Meyer".
Now I have a new one to add to the list. A mysterious, full throttled rocker from TWRP and The Protomen: "Phantom Racer". I particularly enjoy the chorus.