If you don't hate jump puzzles, you'll probably like FEZ (by Polytron Corp.). It doesn't have much of an explicit story, but there are things scattered here and there that do a bit of world-building.

Psychonauts (by Double Fine) might be too shooter-y for you, but I'm really fond of the strong characters that you meet throughout the game (each with a backstory of some depth).

Both of these games are pretty cheap on Steam, if you're not opposed to using Steam. They both run on Windows, Mac, and Linux.