Honourable mentions go to:
Majoras Mask. Easily one of the greatest gameworlds of all time- the characterisation of clock town really gives you a sense of connection and purpose, while the incredible art direction provides a sense of dread that I've never come across before or since. Incredible.
Half Life 2. The perfect example of 'show, don't tell'. While the game does little to explain anything through dialogue, the art direction speaks volumes of a destroyed civilisation, a tyranical regime and a poisoned, ruined world. utterly magnificent.
Prince of Persia: The Sands of Time. In my oppinion, the best straight forward story game of the last generation. It's just brilliantly done. concise, well acted, wonderfully romantic and perfectly joined with the excellently realised atmosphere of the ruined palace. Good twist too.
Seccond Sight. Brilliantly done, also. Generally a cool story on its own but it plays up to videogame conventions excellently to deliver a rather slick twist at the end. very good.
hmm, those are the ones I can think of for now...