KOTOR (II over I because I prefer the many shades of grey Darker & Grittier content over the more black vs. white story in I, the dialogue with Kreia alone was fantastic.)
Warcraft and WoW, some of it is LOLlore (*cough* space goats and "Alliance Thrall" *cough*) but most of it is great.
Halo, especially the Covenant backstory and the Arbiter's slow realization that the Prophets are evil. I especially appreciate the minimalism-- they convey a lot of character development in glances and short phrases and generally resist the urge to overdo (example: "were it so easy" at the end, it conveys everything about the trust John and Arby had come to have in each other). Love the fact that you don't *need* the novels, but they put in enough content in H3 that you're rewarded if you did (all of Cortana's interspersed dialogue, especially "it's the coin's fault"). I haven't played through Halo Wars yet (RTS, really really not my genre), but I kind of worry about it from a story perspective, Bungie has done such a nice job with the lore and I'm not sure how it'll be handled now that it's in others' hands.