Difficult question
Like you said, it's more of a style though there are certain themes running through those films.
The game Noctropolis [http://www.mobygames.com/game/dos/noctropolis/screenshots] had an expressionist feel to me with its dark, futuristic fantasy and purposefully stilted/cliched acting.
Also something like Limbo [http://www.mobygames.com/game/limbo/screenshots] has an expressionist look and feel to it.
Faust: Seven Games of the Soul [http://www.mobygames.com/game/windows/seven-games-of-the-soul/screenshots], Obsidian [http://www.mobygames.com/game/macintosh/obsidian/screenshots] and The Dark Eye [http://www.mobygames.com/game/win3x/dark-eye/screenshots/gameShotId,350409] have a strongly contrasting artistic design and many surreal elements.