I'm gonna say Bioshock, Metal Gear Solid and Shadow Of The Colossus.
I know, I sound like everybody else here, choosing these three games in particular, but the undertones and ideologies that are presented within them are incredible. Metal Gear Solid talks of the futility of war, and how the future will change it, Bioshock talks of the banishment of common political ideals, and how the crumble of civilisation can soon be imminent within any form of government, SOTC simply asks "How far will you go for someone you love?"
However...if you want one game that's not there, and rarely touched upon?
Mother 3.
Mother 3 packs in so many themes that most developers are afraid to even think about touching upon. The themes of suicide, familial separation, death, the breaking of a home. These are all thrown at a 10 YEAR OLD BOY! The game has been known to tear up its audience by way that these themes are presented, in what seems like a child friendly game due to it's cutesy stylised art. It is far from that...the underlying themes are hard hitting, for any age. If that isn't regarded as art, for the way it's presented, and how it addresses it's macabre themes. I don't know what is.