P.T.
The sound obviously helps to set the atmosphere, but more than that it had a actual gameplay mechanic. Listening for the double footsteps, to know if it's safe or not, the requirement of an actual headset/microphone just to beat the demo.
No More Heroes
The boss themes were particularly fantastic, and every sound effect was essentially a tell of some sort. Incoming attacks, blocked attacks, low battery, battery full. Simple things, but useful and under utilized in some games that could use audio tells.