I'm a horror game fan and I really enjoyed Corpse Party. I felt they did a good job with the story in a way that made you feel attached to the characters.

Got a playstation? I like catherine. Though it is more puzzle based, the story is pretty good. Multiple endings too!

The persona series are a good one to take up as well. I am a fan of the 4th

1.Ib
2.Child of Light
3.The vanishing of Ethan Carther
4.Hatoful Boyfriend (it's look ridiculous but trust me,the Pigeon give me FEELS)
5.Papo & Yo
6.The Novelist
7.Beyond:Two Soul
8.Valiant Hearts: The Great War

The Elder Scrolls has some very interesting lore, but If you´re looking for actual stories or "narrative expiriences" go for beyond: two souls or the vanishing of ethan carter.
If you are looking for twisted minded stories, investigate about the five nights at freddy´s backstory. You´d be surprised. Did you know the one who killed the 5 childs and stored them into the animatronics is "the phone guy"?

Always Sometimes Monsters
Brothers
Beyond: Two Souls

These are the ones that I really liked. Especially Always Sometime Monsters because your actions and decisions throughout the game effect what happens and the outcome. And you see the effect of your decisions in the middle of the game instead of just different endings.