Not games with a convoluted mysterious story, per se, but if it’s something that re-contextualizes the story somehow, that’s the kind of thing I’m interested in.
Inspired by my digging into the FF:06:5B mystery in my current playthrough of Cyberpunk. There are all sorts of weird codes and ciphers, bizarre rituals you have to do at certain places and times, and vague clues in weird places. One clue was even in an update to The Witcher 3, apparently. Based on my reading, the community found a sort of conclusion to this one, but it really doesn’t clearly explain things (though it fairly strongly hints at Night City 2077 being a simulation, and us not really playing V, but rather whoever is breaching the system at the title screen).
Portal 2 has a big one that I think most people miss. You can find the biggest clue at the „bring your kid to work day“ exhibit where one submission of (I think it was) a potato plant was signed by a kid named „Chell“. Same name of the protagonist. It‘s easy to miss but it puts the entire story (many parts of which you can also miss) into a new perspective.