I am talking just story here, no matter what else you enjoy about the game.

3 pop in to my head right away.

Xenogears: A story that spans ages, it is gripping and deals heavily with religious issues and icons in both overt and subtle ways. It was well written and had a satisfying conclusion.

Bioshock: Just the idea of Rapture was superb. The story unfolding over a radio reciever and through audio diaries really brought you into the world and the psychoses that materialized. The way it was presented was some good storytelling.

Star Ocean 4: I love the story for this game. The main character goes through moods during the game, from being excited about exploring the galaxy, to self loathing for a (huge) mistake, to reconciling and acceptance. It had one really annoying character (not Quite as bad as Jar-Jar, but close. 'kay.) The subtle hints that people who have played previous SO's might pick up, good humor, and even a little romance that isn't over the top or lovey dovey.