Well, a lot depends on what you are willing to accept as philosophy, and whether your willing to accept things that you might not want to hear.
Video games are being used as propaganda by a lot of differant movements nowadays, if you do checking you can find decent numbers of games produced by white supremicists, like the infamous "Ethnic Cleansing" game. Then you've got left wing propaganda/humor games like "Liberal Crime Squad", and then there was a thing on the news about how the Isreali goverment financed and put up a bunch of extremely pro-semitic games for their youth to download. With the exception of "Liberal Crime Squad" I have not played any of these, as my interest is minimal, I'm just saying they are out there if you look.
Our own Cleril was producing a philsophical RPG type game at one point, I never had the time to test it for him, but he might have finished it, and if he did you might be able to pick up a copy of that from him. I can't say much about the actual content of the game, having never played it.
Then you have "The White Chamber" which is a free download from Studio Tophis which is fairly interesting.
People have already mentioned Atlus' "Shin Megami Tensei" series.
Then of course you have "9 Hours, 9 Persons, 9 Doors" for the Nintendo DS which raises some interesting questions towards the end.
The whole good/evil, Open Hand/Closed Fist thing from "Jade Empire" was also very well done. It raises some very interesting questions through the situations in the game and the central philsophies about things like morality in the short term as opposed to the long term. The "evil" philsophy in that game isn't just about being a puppy kicking jerk for the sake of being one, but basically about being a malevolent bastard in such a way that it benefits society as a whole in the long run. In general you typically wind up doing the right thing, when you look at it from enough distance and the probable results. Being a nice guy right here and now, in some cases winds up causing worse problems for more people, or not resolving anything in the long run. I could say more about it, but it's kind of interesting how things wind up playing out in some cases, or when you look at the overall context of a lot of situations. Sometimes being a good guy is the right thing, sometimes being a bad guy is, however it's one of those games where your rewarded for literally being a sort of warrior-poet an adhering to principle in a slightly differant fashion than most games with a morality system.
There are quite a few, especially seeing as philsophy can be so broadly defined, you'll
