Atmosphere:
Penumbra Trilogy - Survival horror in the frozen north. Dark hallways, underground caves, derelict machinery and industrial areas.
Condemned: Criminal Origins - Tracking a serial killer though the slums of a big city, it makes great use of volumetric lighting and grungy textures, giving a lot of areas in the game a very spooky and ominous feel to them.
Myst Pentalogy - Absolutely gorgeous fantasy worlds, several of them rather spooky, and even down-right disturbing in some areas.
Amnesia: The Dark Descent - Survival horror in a gothic castle. Beautiful use of colors and textures make the game surprisingly saturated and surreal for a horror game.
Story:
Mass Effect - Space opera done well. A steadfast hero, exotic aliens, space ships, an impending galactic catastrophe- it's all there. A couple of surprisingly emotional choices to make, too.
Beyond Good & Evil - Whimsy mixed with sci-fi, and a little bit of magic. It's got corruption, intrigue, humor, sadness, friendship, and just the slightest hint of romance. Never seen another game like it, ever.
FEAR - Best way I know how to describe it is: "One big screwed up family". The story involves psychics, genetic engineering, cloning, human experimentation and a serial killer, all wrapped up in an action-packed psychological horror package.
System Shock 2 - Cyberpunk survival horror, alone in deep space. The few human characters you meet, you immediately root for. The stinger leaves you with a very acute sense of dread, too.
Dead Space Trilogy - The real spiritual successor to System Shock 2; you can draw a lot of direct parallels between the two games. Aliens take over the bodies of the crew of a ship in deep space. It's how the aliens got there that's interesting.
Deus: Ex: Human Revolution - The revelation about half-way through the game made me genuinely happy and excited, and the result of that revelation made me rage so hard. The choices at the end of the game are also surprisingly emotional.
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It takes a village to raise an idiot, but it only takes one idiot to raze a village.