This is a good opportunity for me to hype up one of those lesser-known gems that often gets panned in reviews but is an absolutely *superlative* game if you give it a chance. I'd even rank it as one of my favorite games of the last 10 years, and possibly one of my top ten favorite video games of all time.
I speak, of course, of "Opoona" on the Wii.
I wrote a full review of this game some years back, which you can read here:
http://www.gamefaqs.com/wii/938642-opoona/reviews/review-133727
But the basic gist is, Opoona's world is one of the most meticulously-detailed I've ever seen. I think the best way to sum it up is to give the same example I did in my above review: Opoona's world has an art history. As in, a history that extends back hundreds of years and is split into various movements (revolvism, standardism, etc.). With each movement characterized by a handful of famous artists who each have their own (at least relatively) fleshed-out backstories and motivations, and whose works you can actually go see at any of several in-game art museums. Each work is dated, and there are encyclopedia entries detailing when they were made, what they represent, etc. You can watch in-game TV shows about art criticism and appreciation, which help you learn more about the exhibits in these museums... or you can check out some nature paintings, then go find the exact spots where they were painted, many of which are marked with labeled memorial frames as monuments to the artist (and tourist attractions).
And that level of detail carries over into every part of Opoona's world design. The premise of the game is that you're a stranger in a strange land and must learn to live and work within said strange land, and holy crap did they ever make that task satisfying and immersive. If you're into game worlds with extremely rich lore, I highly, HIGHLY recommend tracking down Opoona. It goes for like, $5 these days because it kind of flopped... but it really is one of the most amazing and unique games I've ever played, and I find it to be an absolute CRIME that it's not more widely recognized.
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Another game that's worth mention (if it hasn't been mentioned already) is Japanese indie game La-Mulana. This has been a recent obsession of mine, and while that's mostly due to its near-perfect stage designs and risk-versus-reward challenge, its lore has a lot to do with it as well. La-Mulana seems like a pretty straightforward Metroidvania with a cheeky sense of humor at first glance, but as you learn more about the backstory of the ruins you're exploring, you start to piece together the rise and fall of entire civilizations, and what their existences meant and contributed to the world as we know it today. It's a very dark, philosophical sort of backstory that spans millennia and gives context to everything you see and do within the ruins, and it makes a game that would've been amazing by virtue of its gameplay and stage design alone into an experience that's almost guaranteed to stick with you forever.
I can't praise La-Mulana enough. Shortly after I beat it, I proclaimed that it may have usurped my "favorite video game of all time" spot from Super Metroid... and now, I'm pretty much sure of it.
If you're uncertain whether or not you'd like La-Mulana, here's the basic rundown: it's a Metroidvania game starring a Japanese version of Indiana Jones descended from ninja and equipped with a tricorder. Its stage designs are equal parts Dark Souls-level challenge and Myst-level puzzles, mixed into a fully interconnected game world that's laid out kind of like Goonies II (two maps stacked on top of one another, with doors connecting the front and back sides), but is larger than Super Metroid's map by quite a lot, and just as fun and rewarding to explore (if not more so). Oh, and with that sort of rich history learned from background details that you'd find in titles like Metroid Prime.
If that sounds awesome to you, then you WILL love La-Mulana. There's absolutely no doubt.
-Tom