Tool.
That's nearly as deep as rock music can be. Jungian psychology, the third eye, aliens, critizism about many things, like kangaroo courts, religion, capitalism, hypocrisy and so on.
There's one very beautiful song called Wings for Marie/10000 Days, it's a two-part piece telling the story of the lead singer M. J. Keenan's mother, who had a stroke, and had to spend the last 27 years of her life in a wheelchair.
But she never lost her belief in God.
Other good songs are The Pot, Lateralus, Disposition-Reflection-Triad, Jambi, Vicarious (a protest against TV violence), Eulogy and Parabol-Parabola.
Enjoy.