Chrono Cross. My fav jRPG, I have played it four times but still don't get the plot entirely. To give an insight, one character turns out to be the Moon...........

That's the point, bit dull if things started normal and just got a bit threatening. However FF13 was just a joke, 75% of the story was either not told to us or told in the 'datalog', I don't play games to read. Maybe this isn't conveluted but more bad narrative.

I agree with the KH talk, but only because of the series. KH1 was fine I'd say. 

Ugh FFX

Chrono Cross.

I'm playing it again to see if I can get everything straight.

FFXIII Trilogy.

The ending of FFXIII-2 should not have happened that way and we could have all avoided Lightning Returns.

Well convoluted means complex but difficult to explain. I'd say the character Tidus from ffx is pretty difficult to explain. As in what he is.

Demon's and Dark Souls games.

I never understood much about their stories. I just know I am in a place and I have to fight my way through speaking with some guys telling disjointed information until I reach a big guy whose death won't change anything. Or it will? Still I love the journey nonetheless.

FF XIII trilogy is another good candidate. I mean, the story is there, but some details come out of nowhere. Like the reason why they came out from crystal stasis, it's explained in FFXIII-2. Then the sequel is illogical by definition and LR:FXIII has got lost in translation the least.

From what I've played I'd say kingdom hearts, metal gear, resident evil and possibly Tekken are the series with the most convoluted stories.

Chrono Cross is my favorite RPG as well, damn that game was beautiful!

Have you checked out Chrono Compendium? It explains the complex plot points and helps to make sense of it all, albeit it's still quite complex.