Well, it depends on what you think the best kind of storytelling is. If you want a big, adrenaline fueled epic, then the Halo series is probably your best bet.
For a complex narrative with high production values, the Metal Gear Solid series is the way to go.
If you want a small story with a different take on telling the story, go with Portal.
For RPG's the list could go on and on, but Final Fantasy 2/4 is great, along with most games from that series.
An RPG subset is the open world RPG, and Oblivion is the 800 lb gorilla in this.
Bioshock and Half-Life fit into their own immersive category, and both have great stories.
Indie games have rather unique stories, Braid's story is quite lovely. In the same vein Passage and Gravitation tell whatever story you want, and can hit you pretty hard(if you haven't played either of them, look them up. They are free and well worth the 13 minutes it takes to play both).
My own personal favorites, aside from those previously mentioned, are: Beyond Good and Evil, the Zelda series, Uncharted, Fable 1&2, Tales of Symphonia, Viewtiful Joe, the Harvest Moon series, and Sigma Star Saga.
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