i'm not sure if classical composers count, but they were numbering concertos as far back as at least Bach with the Brandenburg sets. that's pretty different from numbering albums, though.

as far as rock bands, i think Led Zeppelin started the trend ... soon to be jumped on by a bunch of others. they went all the way to IV. 1969-1971.

off the top of my head, the next closest group to do it was Van Halen; they did it with I and II (and much later, III). 1978-1979, 1998.

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