right then heres a few suggestions
ever 17 (sorry for mentioning again, but the way the story plays out is art, mind you there is no deaper meaning behind the plot that i could see, but most painting dont have a deaper meaning behind them bar whats on screen so... WINRAR)
Narcissu (dont know if i class this as a game though), now this is art, has a meaning behind it, and has feelings behind it.
okay i would mention more vn and kenetic novels...(for various reasons i will not) but that is somewhat cheating in some eyes, since you could argue that kenetic novels arent games but are more akin to movies, and vn are basically just choose your own adventure books displayed as a computer game (some might argue that there not games just a glorifyed picture book).
right then onto the proper games
most things that have came from black isle studios (bg, planescape, fallout ect). theres always deap themes in most of there games, be that imortality, insanity (minsc and boo stand ready!), the appocolipse ect in enougth depth to be considered a major premise and not just a convienient game plot point as is the case with most other games(i havent completed icewind dale, but..... well im not counting that one since it wasnt as good, and you are looking for the best candidates)
persona 2 INOCENT SIN, (not eternal punishment) one hell of a story in this one.
the trilby adventure game series, the story actually tries hard to create psychological horror, and well it just seems better done than most other attempts ive seen, and if it can scare you, i call it art!
Yumme Nikki: since you basically just make up the story by yourself in your head in a way that it gets the player to think... hard to describe okay.
i could do this all day listing why game i think are good are art (these are just of the top of my head), but without a solid deffenition of art, that is the best i can do.