Anyone who said "Halo", shame on you, shame, shame, shame. There are much better storylines out there, and while they aren't all masterpieces, there are shining gems out there, and if the best you know is Halo, shame.
I have to say my favourite is the left 4 dead side stories that are scattered around the left 4 dead universe, the online comic was especially good at telling the story behind the "The Sacrifice" campaign, and the green flu thing really makes the game immersive in my opinion, since, in most other games they don't have a name for the zombie disease. The whole green flu "carrier" thing is a pretty crafty idea too, it makes the survivors seem like they're the bad guys in a way. If you have no idea what I'm talking about...
GO LOOK ON THE L4D WIKI. NOW. THAT'S AN ORDER YOU WHELP! GO! GO! GO!... *Ahem* Sorry. I just think it's immersive enough to push you guys to go explore. Any story can be well executed with enough immersion, and I think it's not about the story, but personal interest. So if you disagree with my L4D being immersive thing, that's only my view... don't get mental.