Interesting or creative plots. For instance, Dycedarg in Final Fantasy Tactics has ties with the Church of Glabados, the Order of the Southern Sky, and even hires Gustav from the Corpse Brigade to kidnap Marquis Elmdore, on top of officially being in the Order of the Northern Sky. He's got his fingers in all kinds of pies... And he's the main character's BROTHER.
Interesting plot devices or 'rules' are always cool, too. I'm not a huge FFVII fan, but I really liked the whole collectivist idea of the Lifestream and Mako.
Interesting political schemes, like all of the double agents in the Metal Gear Solid series, which not only show the diplomacy between countries but also the effect it has on the individuals themselves.
Inner struggles in the playable characters, like having to fight good-intentioned people. Anything that makes a player's competence in a game suffer because they're questioning their own motives. That really takes advantage of the whole interactivity that games have in storytelling.
General magnitude, like all of the different characters and history behind Silent Hill, or universes that are just generally big and have a lot in them.
Interesting monologues on society, ethics, politics, religion, or reality, especially when delivered from villains who don't have to obey any set of rules and therefore speak without inhibition.
Accurately showing what characters go through in the story without being overly brooding. When a character's stats or abilities are tampered with as a result of emotional changes, the effect is amplified. For instance, buggy controls when you have low sanity in Amnesia.
Antagonists that are doing the wrong thing for the right reasons, or vice versa. Examples include Delita, who manipulates everyone around him in order to build up a kingdom for his lover, whom he ultimately manipulates and murders as well, or anyone else whose motives are a topic of debate.