Its presentation might seem dated now (especially compared to the ones you listed), but Morrowind was the first game that really sucked me into its world. It was also the first open-world RPG that I had played, so I was extra blown away by how new that was. Even without that novelty, though, I think it does a great job of presenting an interesting world with multiple stories playing out in it.

It also isn't voice acted...you'll be reading a lot of dialog. I almost like it more that way, though. Some of the characters have a lot more to say than they do in Oblivion or Skyrim, probably because they didn't have to record anything with voice actors.

The Batman: Arkham series also has a great story going for it. It really makes you feel like you are reading a DC comic book.