Dishonored had a pretty compelling story, based on how much you engaged yourself in the story and the choices you made. Bastion was another good one, particularly because of how the narration draws you in. The song "Mother, I'm Here" really made the final scenes and I've no regrets picking it up along with the entire soundtrack. While all the Zelda game endings are quite decent, I have to say I liked the end of Wind Waker the best. The interactions with Ganondorf, Zelda, and the king of Hyrule were well executed (and surprise surprise, the accompanying music was excellent as always). I'm sure there are others, but those are the first to come to mind.