I have to say, first off Portal. It may be short, but to be as iconic as it is and so deep for being simple, it does it's job well.
The Sly Cooper series, particularly the 2nd (because it holds most dear to my heart) has good writing. It's serious, while being all furry. The main characters are 3 thieves, but they show the comradeship and loyalty of a hero. It's serious, but also funny, the conversations between Sly and Bently are great, and there are twists in the story that you wouldn't actually see coming. Also, the execution of the jobs are amazing