Riven.
At the beginning of Myst, you're in a New Mexico desert when a book falls out of the sky. You pick it up and fall in (yes, fall into the book) and end up playing two very different but equally weighty plotlines based on family betrayal.
At the end of Riven, in the good ending, all is about done - the books with the corrupt and greedy sons entrapped in them are burned, the insane grandfather is trapped in a separate book, the main character and his wife are finally reunited after months of separation, and the villagers on the collapsing island have been evacuated.
The only thing left is you.
The wife links away as the island begins to get dragged into a bottomless starfield. The main character says thanks, then links away... and you fall into the starfield to a closing monologue. The game ends as you plunge out of the sky (you're OK) into the New Mexico desert where you started.
When you play Myst Online, you see the New Mexico desert in the daytime. You even see where the player character of the first two games landed... there's a big device from the second game broken in the dirt and a huge skeleton of a carnivorous fish from the second game where they fell from the sky alongside the player.
The ending is just so deliciously final, and I really like how it ends where you start.
The ending was SO final, in fact, that the future games had to take up a completely independent storyline uncontinued from before.
