My favorite is Metro 2033.
Despite it being a great game with excellent narrative, the endings were just great.
Throughout the game I felt like the "Bad" ending where you fire the nukes would be all about what an asshole you are for nuking the Dark Ones.
When I think about it, the game gives equal hints and reasons for both the "If it's hostile, you kill" and the "Maybe it's all a misunderstanding" viewpoints.
I went with the ending that I felt was right, the "Bad" ending, and much to my surprise, the game didn't make me feel like a dick for picking the option I wanted.
Something rare and refreshing for multiple choice games.