I have to agree with JonSlaughter to a point, however, there is a full band piece called Tubby the Tuba. It, through the use of a narrator granted, tells the story of a tuba named Tubby and his problem of wanting the melody but never getting it. The piece makes complete sense without the use of a narrator though. If you listen to it without a narrator, you can hear the "conversation" that the narrator exaplains, minus his or her voice.
But I do really have to agree with JonSlaughter. A story told through music is completely perceptional and individual. No two people may hear the exact same story for any piece of music. I listen to Beethovens Pathetique piano sonata and see something different each time I listen to it.
I do enjoy trying to write with a story in mind though. Makes it more of a challenge and it makes it special to you.