New Jersey’s native sons are back. After four years, My Chemical Romance have crawled out of their dark mourning period that they explored on their last album, “The Black Parade,” and have returned with a new concept on “Danger Days: The True Lives of the Fabulous Killjoys.” The album is a snarling synth-fueled call to action. Along with the concept comes a new hair style for lead singer, Gerard Way. His hair is now dyed a blazing red to match the fiery lyrics and stomping melodies of the new album.