Dead Space series (specially 2), Max Payne, Metal Gear Solid 3, Silent Hill 2, Rule of Rose, Mass Effect 3 are the ones I remember that I enjoyed its story and

Dead Space series (specially 2), Max Payne, Metal Gear Solid 3, Silent Hill 2, Rule of Rose, Mass Effect 3 are the ones I remember that I enjoyed its story and cared about the characters pretty much.