I never did finish Outer Wilds and still think about it a lot! I need to go start it again because it is genuinely spectacular, but I struggle with my constraint of only being able to put short-ish play sessions into it.
Playing Ocarina of Time with my son was an epic journey I treasure. It completely captured his imagination, and I was along for that ride.
Grim Fandango was, and continues to be, a dream for me.
While I'm there, Full Throttle also executed its style so well that some of its moments still serve as cultural/stylistic landmarks in my mind.
Mass Effect 2 had several moments where the atmosphere and universe totally hit the mark (Going into the Afterlife Club... come on!).
Red Dead Redemption connected me to that setting in ways movies can't reach.
Edit: I forgot to mention Firewatch! That game established a mood unlike any other game I can think of.
Man, Firewatch. I don't know how they managed to make the player connect on an emotional level with a character that you don't even get to meet, but they did a fantastic job.