GameOver22 on 12 September 2011
I'd go with Bioshock. At first glance, the main story arc seems simple, but there is a lot going on underneath the surface. On top of this, the audio dialogs effectively tell another story about the rise, fall, and continuation of Rapture. Overall, it is one of the most fully-realized worlds I've encountered in video games.
I also liked how the story was told. There are very few cinematic sequences, and almost everything is told in real-time through audio dialogs or radio conversations. The game doesn't really shove its story down your throat, but there is a lot there for those who are willing to look.
