To me NWN2 Mask of the Betrayer is the modern Planescape Torment.
Other than that, if you are okay with old school RPG you should try Spiderweb's products. I played
Avadon and immensely enjoyed it. The whole five episodes of
Geneforge saga are available for around 6 bucks from the
Indie Royale Bundle but I have never played it myself.
Dear Esther is all story and graphics, rather short though.
Psychonauts is one of a kind.
Bastion sold the story through the narrator and the best soundtrack ever.
The Walking Dead is supposedly very good, its more of a choose your story kind of game. All five episodes were sold for 15 bucks during the steam sale but its back to 25 now. Havent played it.
Sometimes the plot is less important than the setting. I find
Stalker - Shadow of Chernobyl to be very intriguing, but imo one needs to complement the game info with info from wiki to understand and enjoy it.
Metro 2033 has similar setting and has tighter, focused and much easier to understand plot but its also less intriguing as a result. Enjoyable still though.
Choice of Games offers lots of choose your own story type text-games. I really enjoyed them but the replayability is almost nonexistent. OTOH its free
