You've inspired me to maybe try and get into The Armory Wars story; with this being the first album I've ever truly listened to by Coheed, I've never really understood it. That said, is the story difficult to comprehend and follow?
It's tough to understand through the albums. YOTBR comes with a full novel if you buy the deluxe version, and a couple of the albums have had comic books or graphic novels drawn up. Each album kind of tells its own story and they jump around chronologically so it's extremely difficult to piece it together just by listening to the records.