Wooo, list time! Well, when I hear 'games are art', I immediate think of the more 'alternative' games, even though a game like Half-Life could easily be considered art as well. But yeah...
There's Rez.
Developers said they used Kandinsky as a source of inspiration. Personally, I'd say they based it more on old vector-based games and the original Tron movie. But then again, I don't care what they used as their inspiration, the result is awesome. The synesthesia between gameplay and music, the freaky graphics that like like someone forgot to slap on the textures, the uniquely brought story... Yeah, I'd consider this art.
And then there's Okami.
A game that plays like a living painting and is filled to the brim with Japanese mythology, Shinto stuff and all. The concept of the Celestial Brush was just amazing.
Echochrome is a pretty obvious one as well.
The gentle piano music, the influences of Escher, the sophistication in the puzzles... Yeah, maybe it's trying to hard, but there you go.
Shin Megami Tensei III: Nocturne or Shin Megami Tensei: Lucifer's Call.
Maybe a bit less 'on the nose', but I've always seen this game as a form of pure art. The stoic and incredibly distinctive character design, the deep reasoning behind the storylines, the atmospheric clair-obscure graphics and the turbulent Shoji Meguro soundtrack. This was the sort of game that took me to another world unlike anything classical fantasy or sci-fi could deliver - something occult and out of this world.
Everything Team ICO did (ICO, Shadow of the Colossus) and will do (The Last Guardian).
It's beautiful, it's touching, it's unique. This development team takes their time to deliver something that can't quite be compared to any other game. And I love them for it.