Great thread.

I've always loved the story in Pretty Peggy-O, especially the ironic kick in the end, where the spurned lover says he'll burn down all the cities of his fair lady for rejecting him. lol.

Some more:

Miners Song/Sourdough- by Bill Staines (underrated, haunting song)
Desolation Row- Dylan -a story in dream sequences
Whisky in The Jar
Barbara Allen (although I'm a singersongwriter lover first,
             the trad songs really excel at story telling)