Half-Life 2 and it's Episodes, Portal, Bioshock, and if you manage to understand it, I hear the MGS4 story is good.
But here's the one nobody else has though to mention; Cryostasis: Sleep of Reason. Cryostasis is a PC game, made by some Ukrainian developer (Aspyr, I believe). It's a corridor shooter with rather average graphics, yet runs such and inefficient engine that to run the game at highest settings and enable PhysX (Though in all fairness the water physics are very impressive), you'll need some impressive specs. But despite it's inefficiency and unvarying environments, the story is absolutely fantastic. The game should be played if only for that. Also, the Mental Echo gameplay mechanic is very interesting and unique. Just be sure you have a very good system, and buy it on Steam, because it'll include the patches that make the game actually playable.
