Two games: The chatter from enemies in Far Cry 2, like when they know you just wiped out their whole patrol and are shitting their pants, they will usually start yelling and freaking out, which ramped up the tension immensely.
And also, as someone else said, Company of Heroes has the best unit responses and statements in a game. EVER. Just to name a few:
"Ha! They are scratching your paint job Halmut!" (German Tiger being attacked by Sherman)
"Who believes in the Boogeyman?" (American Sniper)
"Our Veterans? Six years of war. Their veterans? Six days of war." (German Tank)
"Were Airborne! Were meant to be surrounded!" (U.S. Paratrooper)
It's also the only strategy game I know of that your units can get pissed off at you XD
"You click me one more time and I will fucking smoke you!" (American Rifleman)
"I think I hear your mom calling for ya." (Sherman tank)
"How 'bout you go back to the main menu and try the tutorial, no?" (German Soldier)
And Finally my personal favorite:
"Gunner! Point the turret to that floating camera in the Sky!" (British Tank)