Basically what the title says. I’ve only played two games like this so far (Silent Hill 2 and OMORI) and am looking for more.
Could be games, ROM hacks, mods of existing games, etc.
EDIT: So many great suggestions! Getting a bit overwhelmed by how many there are, so I’m going to need to find a way to put this in some kind of list with an order to play the games in. By all means, keep 'em coming, though!
Shadow of the Colossus. Not only is the game play fantastic, but it is one of the strongest pieces of environmental story telling to ever happen imo. You have to pay attention to get the full story out of it, but is gripping.