My favorites from the past decade:

Soma, a science fiction horror game around the idea of transplanted consciousness. It's a common sci-fi theme but Soma handles it much better than most and adds a very interesting setting.

What Remains of Edith Finch, not scary, it's a "walking sim" that explores a family's surreal curse over generations. It's actually really touching.

Disco Elysium, a detective RPG in an interesting fictional "post-soviet style" setting. The world building and writing are incredible. While it has a sense of melancholy, it can also be incredibly funny.