So, in my quest for all things metal and Tolkien I came across a few prog rock, and so :

Camel : Nimrodel / The Procession / The White Rider (1974)

Rush : Rivendell (1975)

Avalon : Land of Mordor (1977)

Archangel - The Akallabeth

Ainur, three Silmarillion inspired albums : From Ancient Times (2006), Children of Hurin (2007) & Lay of Leithian(2009)

Edit :

Ups, forgot to put this http://www.tolkien-music.com/ here after Kinja the post the first time..