All of the crazy concept albums and Wild Mass Guessing by fans makes perfect sense when you realize that Gerard is a comic book writer, and probably plans out stories for band's music in the same way.
YMMV, but the concept behind the second album, Three Cheers for Sweet Revenge, comes with its own brilliant twist. The album's story follows a man who dies by gunshots and makes a deal with the Devil: to deliver the souls of 1000 evil men in exchange for his own resurrection, so that he may be reunited with his lover. Gerard has acknowledged that this would never have ended happily-ever-after though, as the man would come to realise that his own soul has been tainted evil by all the murders he's committed to collect the first 999 evil souls - making him the 1000th evilest soul alive. In other words, he must kill himself to deliver the last evil soul to the Devil.