Relax OP, frustration and name calling won't solve much

. I've only played one on your list, Planetscape Torment, and I loved it. Another two I appreciate dialogue/plot-wise are Majora's Mask and Persona 3 and 4. Why you may inquire? It is because both games have a very strong character dialogue and personal stories that really pull you into their lives. Majora's mask, three day doomsday which I thought was unique. To me the interpersonal conflict and drama, especially the love storyline, was very appealing. Same thing with Persona 3 and 4, it wasn't the main plot that was deep and involving, but it was the intimate relationship one formed with the characters throughout the game through well written dialogue.
Psychonauts represents another side of this discussion. Instead of the main plot being deep and thought provoking, it was the environment. Not always words that are involving to me, but the way the game presents itself. The take on human psychology I felt was rather clever and very stimulating in private contemplation on the workings of the human mind. Even Shadow of the Colossus, which had a shitty main plot, still asked the question, "Is it alright to kill these magnificient beings for a love possibly unrequited?"
Just stating that sometimes the depth and meaning of a story is up to the player, and how they experience and perceive it. Whether it be a mass of messages or one which is hard to answer. Now there are games that really strive make the player feel it like Planetscape Torment, but I felt forcefeed some of the messages, like I was being preached to rather than feeling it. A personal example of the difference between being told through literary and verbal means, and seeing with feeling (environments and action).
As a last note, there are games I feel have very little to glean from like Gears of War and Halo because there are very weak subtle and overt messages. Not so good character development, if any, and a rather linear kill the bad guys and save everyone. No moral conflict, emotional weakness or confusion, or subtle allusions to philosophical questions/current day events which cause questioning.
Now a lot of this is personal opinion and I'm not criticizing the OP because I believe we share similar points. Wanted to give you an option of expanding the idea of depth to the role of environment and action in portraying depth and posing questions as well. My suggestions of games may not agree with you as well hahahaha.