If we go by everything else. For example, all movies, books, music and paintings are considered art then I'd have to say all games are art as well as I see no difference but, if we go by a specific definition of what art is, which would mean that only a select set of movies, books, music, paintings and games are actual art and the rest aren't then here is my list. I read the definition of art on wikipedia is something that 'Art is the product or process of deliberately arranging items (often with symbolic significance) in a way that influences and affects one or more of the senses, emotions, and intellect.' Well, if I went by this, it would seem to me as though anything could be argued art. In this sense, art could also be subjective. For example, someone may be influenced emotionally by becoming sad during a game but, another person plays the same game and finds that their emotions have not been influenced. Anyway, this is just getting stupid and really unnecessarily complicated. I'll just mention games that moved me in some way significantly at some point.
NOTE: These are the ones that come to mind at the moment. There may be many more that I just can't think of right now.
1. Final Fantasy VII
2. Final Fantasy VIII
3. Final Fantasy X
4. Final Fantasy VII Crisis Core
5. Persona 3
6. The Secret of Monkey Island
7. The Curse of Monkey Island.
8. Tales of Monkey Island.
9. Uncharted 2
10. Klonoa 2
11. Shadow Hearts 1.
12. Kingdom Hearts 1.
13. Knights of the Old Republic.
14. Call of Duty 4: Modern Warfare.
15. Call of Duty: Modern Warfare 2.
16. Call of Duty 1