Dream Theater's Metropolis part 2 (Scenes from a Memory) 200 LIVE with Lyrics.

Incredibly condensed version (in chronological order):
In 1928, there was a woman named Victoria and she was with a man named Julian. He loved her and she him - but unfortunately Julian fell into drinking, drugs, and gambling - and because of his erratic behavior, Victoria cheats on Julian with his brother, Edward, who doesn't believe that Julian deserves to be with her. However, she eventually regrets doing so and goes back to Julian. On the night that they try to reconcile, Edward shows up and, in a jealous rage, kills both Julian and Victoria (telling her to "open her eyes" before he shoots her). He then stages the whole scene to look like Julian killed Victoria when she wouldn't take him back, and then himself, and gets away with both murders.
Flash foward to present day. Nicholas is a man who since he was a small boy has had incredibly vivid dreams involving some girl who he's never met (Victoria) - these dreams disturb him so much that he seeks therapy. After doing some additional research, he discovers that Victoria was indeed a real person who was murdered, seemingly by Julian. The more he learns about her life, the more he discovers that these aren't mere dreams, but rather memories from a past life.
He comes to terms with the fact that his past self was murdered in a revalation during a therapy session. Little did he know that as he is the reincarnation of Victoria, his therapist is indeed the reincarnation of Edward, and after Nicholas's final session, his therapist follows him home and kills him - "Open your eyes, Nicholas".