I used to think the environment and atmosphere in Fallout 3/New Vegas was pretty depressing. Even in the darkest and most devastating corners of those worlds though, there might be a light at the end of the tunnel. Witty characters with fantastic dialog could be met, odd and goofy things may happen, and safety doesn't seem to be so far away.
Imagine that light didn't exist. Take away witty characters and replace them with characters that don't care about you, that can barely survive on their own and probably won't live much longer. No area is safe, the land is always tainted by anomalies. Wandering around without a care in the world won't lead you to loot or treasure, it'll lead to catching a bullet to the head or being viciously blindsided by a horrible creature.
Stalker is the most depressing and hellish game I've ever played. Victory isn't from how many firefights you win, victory is when you find AK ammo and sausages from dead allies and foes. I root for those around me to perish so I can loot form their corpse and continue on in a world where living makes less sense than being dead. You constantly hear humans screaming in the distance, demons growling or howling, gunshots that echo and die out.
Besides scavenging and murdering any bandit that wants you dead, you have to worry about the supernatural and deformed. There is no happy ending, there isn't anything joyful in the world of Stalker. The only reason you continue onwards is based on a simple but powerful human trait, curiosity.
Continuing through the hellish world to find answers is what compels the player to continue. No other game has portrayed horror that feels realistic yet demonically fantastical.