If you also include games in which there are only specific parts about escaping, not the whole story, then Arx Fatalis
would count as well - you start it in a prison cell.* Also, the whole environment is very claustrophobic most of the time.
* The same goes for the beginning of Baldur's Gate 2
And the total conversion mod Nehrim
for Oblivion features a prison escape quest, too. (Actually, a lot of RPGs do.)
(Btw, I didn't realize just HOW messed up the forum has become. It's not just that you can't post "&" without quotation marks anymore, you also can't have two links in the same row, and posting too many quotes and links bears the risk of things going wrong for no apparent reason ...)
Wow. Arx Fatalis seems like a cool game. The atmosphere looks just right!
Maybe I've spent too much time with open-world games under the wide open skies, but there is a certain thrill in just being in this restricted world. And when finally, either in the end of the game or after a very long haul in the caverns or corridors or such, you get to come out, and see the outside world - that's also quite an exciting moment! :)
I remember playing Ultima 4 and 5 as a kid, being very bad at epic RPGs when those games first came out... Spending hours in some cave with that oppressing music.. And finally coming out... That was just a wonderful moment, when the music changed and suddenly there was light and the lands in all directions...