Going to second The Walking Dead Game by Telltale Games. They exaggerate how much your choice mean, but it is still a fun and dark game. Many parts were touching, sad, shocking, and one moment even brought some tears to my eyes.
It's a bit of an oldie, but Vampire the Masquerade: Redemption kind of fits. Your character is a knight fighting in a crusade who, against his will, gets turned into a Vampire. He's torn over what he's become, what he views as an evil unholy monster and his love for a nun that nursed him back to health for tempting her from her vows. And Bloodlines isn't a sequel, but in the same universe is more modern, and is a damned fine game especially with the fan patch.
From what I've seen of This War of Mine, iy should fit that request as well.