What is the name of the band that has 7 albums about a man in space and on the most recent one there is a song about how entering the atmosphere is dangerous but the girl he loves is worth the risk?

The band you're referring to is likely "The Decemberists." Their album "The Hazards of Love" features a narrative about a man in space, and the song "The Wanting Comes in Waves/Repaid" touches on themes of danger and love. The band's storytelling style often intertwines fantastical elements with deep emotional experiences.