Not really a single game, but I would choose the Baldur's Gate games. They follow on directly from one to another so it's all kinda like one story. It counts.
Baldur's Gate
Baldur's Gate: Tales of the Sword Coast
Baldur's Gate 2: Shadows of Amn
Baldur's Gate 2: The Throne of Bhaal
If I was to choose current gen...
Valkyria Chronicles.