Gotta agree with others that mentioned The Outer Wilds. I haven’t stopped thinking about that game in some capacity since I played it and the second (part? Game? DLC?) about 6 months ago. I never looked up anything before or during play, but loved reading all about it after finishing them.
It bears repeating…Do not read/watch anything about this game online. The best way to experience it is through discovery and I wish I could wipe the experience from my memory just to experience it again!
Other notable mentions are…
Dead Space for it’s integrated menus and systems that never take you out of the game.
Prey (the Indigenous People one) for the unique story.
Amnesia: The Dark Descent for the story, voice acting, and fear.
There are other games to mention, but my kid just came in and broke my train of thought.