The line
readHTMLTable(album.link)
is causing the error. Try changing it to
tables = readHTMLTable(album.link, header = FALSE)
But it still gives you the warning:
Warning message:
In readLines(beatles.albums.page) :
incomplete final line found on 'http://www.last.fm/music/The+Beatles/+albums'
Which you can get rid with
readLines(beatles.albums.page, warn = FALSE)
Also note that you're not 'saving' the tables, it changes at every loop, but maybe that's what you want.