When it comes to the characters Bioware and Obsidian do a good job.
999 on Nintendo DS was well written all round in that it knew how to play with your expectations and deconstruct seemingly cliched characters.
The story and audio logs in System Shock 2 & Bioshock were very well-written.
A couple others:
Vampires: The Masquerade - Bloodlines,
Killer 7,
Ghost Trick,
Sam & Max (very clever dialogue),
Dues Ex,
Dreamfall: The Longest Journey,
Persona 3 & Persona 4,
I'm sure i'm forgetting some though.