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).
I loved the Mass Effect 3 fan explanation of the ending, tying together why Shepard saw the kid while fleeing Earth in the beginning, then again at the Catalyst while heavily wounded. Of the 3 choices, the red (destroying all the mass relays and the reapers) was the only one where he stopped limping to stand up again.
In Deus Ex Human Revolution, it’s pretty easy to forget the opening cutscene by the time you’re doing shit in China and get told to go to a clinic to fix your implants, in order to stop glitching. Said cutscene shows a bunch of shadowy figures planning how to control everyone with implants.