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).
There’s the fan theory from the Pokémon Black/White series that N, the half-rival/half-enemy, is secretly a Zoroark. He has a similar hairstyle and it would explain his backstory as a wild child and why he somehow has the ability to understand Pokémon. There’s also a chase sequence where you follow a Zoroark around, but you reach the dead end of a cave and it’s just him there.