I'mma let others continue the ongoing discussion, and just toss in my two cents that Plansescape's storyline was much deeper than Xenogears. Planescape's entire purpose was to ask "What can change the nature of a man," and it did as interesting a job of exploring that as your average theatre production.*
Xenogears was pretty bloated, so while it broadly touched on a lot of things it never went very deep with any of them. I've read Perfect Works, and it still seems fairly shallow to me.
*I'm not much for philosophy, so that wasn't meant as dismissively as it sounds.