EDIT: Aww shit, this was a necro thread. Whatever. :) Spoilers for Baldur's Gate 2 and Spec Ops: The Line ahead!
Overall, I guess in games I am not necessarily looking for the best story (which would fit a movie or book), but what good interactivity can bring to the story telling.
I'll partially have to say Spec Ops: the Line. The game made me feel like I was "in" the game enough for me to feel really bad about what was going on in it.
I'll also mention this one, but mainly just for one scene: the one where the "antagonist" puts you it a situation where you have to decide which of the two hanging soldiers (both of which have allegedly done something bad) survives, ie. you have to kill one of them. And if you don't choose, the antagonist¨'s snipers will kill both of them.
That story element in itself was not that original, considering movies like Sophie's Choice etc., but what made it remarkable was that while the game seemed to give you an option try to save them both (but only seemed; I think they will both "die" then anyway) by fighting back, in the end you learn that the protagonist was basically just imaging it all. The soldiers you tried to save were dead already, so it didn't matter one way or another what kind of moral choice you made at that point (I don't know if the choice has some effect to his mental health or anything).
At that point I instantly recalled how many times I had reloaded an earlier save game in that part of the game, trying my best to save both soldiers by either shooting the ropes around their necks, or attacking the enemy snipers directly etc. All in vain, as they were dead already. The game was fjucking up with _me_, making me to replay the scene several times for nothing. :)
I think that is good example where interactive story telling can shine compared to passively absorbing someone else's story from a book or movie. It is happening to "you", and you are making choices.
Another more recent case is Baldur's Gate 2. I had hard time deciding what to do with e.g. Keldorn, a great fighter (paladin) in my party who was becoming homesick because his wife was willing to get a divorce, and kids wouldn't consider him as a father anymore. But still, I didn't want to lose Keldorn as he is probably the best non-evil fighter you can have in the game, but then I also felt bad forcing him to stay in the party.
BG2 made it easier though by giving you a third option, ie. Keldorn can stay with her family for a day or two, after which he is obliged to rejoin your party. And he seems fine with that solution, especially as he keeps telling his family he will rejoin them after our adventure together is over. This is the "have a cake and eat it too"-option for that dilemma.
I would have probably preferred if Bioware had dropped this third option away from the Keldorn subquest, ie. you really have to decide whether you do the right thing and lose a good fighter from your party, or keep him and maybe listen to his homesickness wailing the rest of the game.