Halo: ODST.
No, seriously, hear me out on this one.
The halo series has been pretty good at big, epic set-pieces with orchestral music blaring off at you whenever something explodes in big, bright colours while your god-warrior flips tanks with one hand and doesn't afraid of anything.
In ODST, however, everything is dark, it's raining, your a pitiful little human and the city your in is filled to the brim with shit that wants to kill you. The big Orchestral set pieces aren't there anymore, instead replaced with near-total silence save the sirens of abandoned police cars.
And it's... pretty damn intense. I was so used to Halo 3 that when I first started up ODST, I was thrown by how completely alone and small I felt in this new world, going around cautiously and sneaking past fights instead of doing the usual 'Run in, throw grenades, everything dies' tactic of Halo 3. Granted the missions where you controlled other squad-members went back to the usual Halo feel, but the middle bits where you controlled the voiceless-protagonist guy were pretty damn awesome in the atmosphere component.
Halo Reach was also alright in the atmosphere department, with the whole 'everything is fucked, let's enjoy the ride' approach. It did the big epic set-pieces of Halo 3 but bigger, but there was just something about it that didn't let the atmosphere sink in with me.