The Messenger, because it has a lot of detail in its backgrounds that sometimes even relates to the lore/stories told ingame.
Also, La-Mulana (remake) has some real nice background art for the ruins, some are based on different historical periods or beliefs. For example, Temple of the Sun is based on Egyptian gods, Chamber of Birth has Hindu influence etc. The background is often a hint or even a tool to solve puzzles, plus you can scan murals and decorations for some info on what is depicted.
I finished the story mode of Anarchy Reigns. What an absolutely funny game, it's stupid action and ridiculous anime bullshit all the way. I'm kinda baffled the multiplayer wasn't more popular when it came out, it's the very definition of just jumping in and exploding some stuff.
AND THE MUSIC