Kentucky Route Zero — Player choice affects the flavor of narrative but not the direction of the story, so that the story is linear but the experience is wildly different for everyone who plays it. Absolutely brilliant. Player choices that both do not matter and, at the same time, matter more than anything else.
Black Ops 2: I know, I know, and yeah the first one is probably in the top 5 worst games I've ever played, and this one's got a ton of issues, but what it gets right are a huge number of opportunities to fail forward—losses, big and small, that affect the story rather than showing a game over screen. More dumb action games should do this, it would make them suck less. It's also got the best local multiplayer I've seen in an FPS since Perfect Dark (though still not as good) but that's another topic.
In Halo: Reach, you win, and then you die. Halo 4 didn't have what I'd consider a happy ending either.
the second problem is that there are only a few good writers of the correct style out there and they're all in television. (total hyperbole but the point should be evident)
the third problem is that video game makers refuse to accept their actual demographics and they keep aiming the story at 14 year old boys, who have awful taste, frankly.
edit: accidental word