Everything from Supergiant Games, Transistor being my favorite. Their combination of narration, art style and soundtrack all working in tandem to tell a story is simply amazing. Darren Korb was my most listened to artist on spotify for the longest time.
Some other games worth mentioning (that I have played) are Portal 2, Hellblade: Senua's Sacrifice and Banner Saga trilogy. All of them featuring beautiful stories, visuals and soundtracks.
Also, what a great thread, I wish I had the time to play even a fraction of the games mentioned here, so thanks everyone :D