After finishing this game and doing a lot of replaying, I have to add Bloodborne to this list. The story wasn't the best I've seen (although it was far from bad) but the delivery was spot on. First time I ever played a game where you literally know nothing and have to uncover bits and pieces of the story and piece every thing together, which makes every bit of information mysterious and engaging, and to the point where when you finally know the full story, it makes all the places and characters you've seen and met that much more interesting. The closest thing I've seen to this was Silent Hill.