I believe we have to look at this question empirically. I am not going to provide a ludological theory on how a game's narrative progresses while employing a high level of player agency, for I find this unnecessary for such a topic. If we agree on only ONE game possessing an intricate, deep narrative, then by virtue of this fact, we must agree the medium, itself, has the potential to express meaningful and thematically deep narratives. Of course, there are limitations within all mediums in terms of story-telling; for example, Alan Moore frequently states how he created V for Vendetta and Watchmen to be irreproducible in other formats. Similarly, games are able to employ many devices outside the scope of film and sequential art, but this also works the other way too (i.g., films and sequential art possessing commonly used devices outside the reach of games). However, we are looking at one facet of games: whether the narrative may be deep and meaningful. Yes, this is empirically proven and unfalsifiable. Granted, there is a subjective element, but to state a game cannot provide sociological criticism or thematic depth is absurd. Perhaps, prose may explore aspects of this universe more efficiently than interactive art, but interactive art should not be regarded as "poor man's trash for intellectual food".
There many games with deep, sophisticated narratives, and I will list them here:
1. Earthbound
Earthbound delves into these themes:
- Technological man vs spiritual man
- Aesthetic decisions
- Extreme hatred of capitalism
- Plays on American pop-culture
- Buddhist themes of self discovery and edification
- Subjectivity is the only weapon against objective evil:
- Definition and substance of humanity
- Anti-establishmentism
- Importance of childhood
Here is my friend's essay on my blog:
http://phoenixicsepehr.blogspot.com/2009/10/art-guest-essay-on-earthbound.html
2. Deus Ex
Deus Ex is a cyberpunk game dealing with a conspiracy. It starts with a prologue revealing a new disease, "The Gray Death", plunging the world into despair. Vaccine shipments are supposedly controlled by UNATCO (AKA "UN"), yet later in the game, the details are revealed to be vastly different. Furthermore, terrorist attacks are rampant, and the player will soon discover their true intent and reason. There are many allusions to real-life "events and groups", such as The Bilderberg Conference. Philosophical themes are intertwined into this conspiracy; for example, questions about human nature are pervasive as evident by this scene:
http://www.youtube.com/watch?v=COwfIhvRtNw&feature=player_embedded
Ultimately, the game leaves it up to the player to formulate his own commentary from the events. In the end you have a choice to...
A) Plunge the world into a new dark age by destroying global communication networks, yet reveal the truth
B) Join forces with the Illuminati and influence world affairs from the background
C) Assimilate your mind with a super computer AI and rule the would as a benevolent dictator
Deus Ex does not condemn you for any of those choices with a moral spectrum implemented in the game's code.
3. Planescape: Torment
4. ICO
5. Killer 7
This is more of a political rather than philosophical piece. Granted, many people overlooked the message of the game. Suda 51 is a genius.
Here is a massive plot analysis courtesy of James Clinton Howell:
http://www.gamefaqs.com/console/gamecube/file/562551/38193
I missed A LOT (e.g., Grim Fandango), but you get my point.