I've got a few, but I think the one that stands out the most to me is the SMT mythology - specifically the Persona line, but I think all of the titles have such intriguing situations that I find myself scouring over each and every corner of a title, finding notes and piecing information together to learn as much as I can about the story. I've spent hours just going over monster/demon/persona descriptions and setting areas, seeing how they correlate to different areas and so forth.
One of the reoccurring themes in SMT is the power struggle between lawful and chaos, and not in your typical sense; it's not good heroes fighting villains, or even angels fighting demons (even though that does happen) - it's more of a political, religious struggle between the creator and those that oppose it. I really dig how deep into different mythological lore SMT gets, and how they utilize even religious icons in unique ways. The stories are insanely deep, and they even carry into one another, which really makes you think. There are so many "OHHHHH" moments that I can't help but smile at some of the ideas the series has put forth. I also appreciate how mature the series can get, but still remain tasteful and respectful. It's just really interesting to see how someone could take Greek, Egyptian, Norse, Japanese, and English lore and throw them altogether and have it make sense. Such a wonderful experience.
Oh, I'd also like to mention the Metroid Prime Trilogy and BioShock. Just the sheer amount of story and content that can be found via scanning and video logs is great, and piecing together the history by looking over your notes is just a fantastic experience. I didn't even play BioShock - I watched my friend play through it -, but I sat through the entire play through of the first 2 and thought - "Man, that was awesome. I can't wait to see where this goes next" at every turn.