BioShock. I came away from it thinking about Objectivism and fascism like I hadn't before. No one in BioShock is finger quotes evil. They're just well-intentioned people who were far less advanced than they thought they were, with horrible, horrible consequences do largely to their self-imposed isolation. Granted, the fact that they were arrogant enough to try Ryan's experiment in the first place speaks to their character flaws. But it wasn't like they knew how bad everything was going to get. They were just simple people and it got away from them.
I never felt this way about game characters before. These aren't run-of-the-mill bad guys for the player to kill - they're messed up people who must be stopped, but again, it's nobody's fault, the situation is just out of control. I've never played another game that left that kind of impact.