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Here's some games which I find have the best ways to tell their story:

Sonic & Knuckles (Genesis): Each level feels like the next step in the inevitable showdown with Dr. Robotnik. From Mushroom Hill Zone to Sky Sanctuary Zone and then finally to Doomsday Zone, you really feel like you're digging deeper and continuing on in this story, and each zone is the next chapter. Not a word is spoken nor a line is on screen, but it really feels like you're a part of something.

Super Mario 64 (N64): Right when you enter the castle, you hear Bowser utter his evil laugh and you know that everything isn't as it should be. So you do something about it. Awesome.

Metroid Prime (GameCube): You enter a world you know nothing about, but everywhere you look there's a story to tell. Whether it's the Space Pirates testing data or ancient Chozo lore, Tallon IV is alive through its written history and development.

Bioshock (360, PS3, PC): Much like Tallon IV, Rapture has a lot to say. Instead of readable lore scanned by visors, the history and downfall of the city is told through audible audio diaries. Each person is unique and has something to say. And every diary, from the trivial to the eye opening, made Rapture that much more alive.

That's all I can think of for now.