In the Wee Small Hours might be my favorite Frank Sinatra. I'm not alone; it's a favorite of the critics, too. It's also an early example of a "concept album". It doesn't tell a specific story like Pink Floyd's The Wall or Willie Nelson's Redheaded Stranger, but the songs are so thematically similar that it might as well. If you're not already a Sinatra fan, this is a great album to start with.