Forget about new stuff. If you want a gripping R.P.G. with a really dark and engaging storyline then I can't recommend my beloved Ultima V highly enough. If incredibly out-dated graphics (hey, it was the 1980s) don't bother you, then I genuinely think you'll get a lot out of this. Even if you haven't played any of the other games in the Ultima series I still think it would stand up on its own. (For the record, here's all the back-story you'll need: you play a dude called the Avatar who is the sole annointed saviour of Britannia, a medieval alternative world presided over by a guy called Lord British. The religion of Britannia comprises the following of 8 virtues such as valour, honesty, and sacrifice, to attain true balance in life.)
Here's the story: a massive cavernous Underworld has mysteriously opened up underneath the surface of Britannia. Lord British, benevolent ruler, has disappeared while leading an expedition to explore this new world, and in his absence another ruler has taken his place, a seriously dodgy guy called Lord Blackthorn. Under his rule the virtues of Britannia have been twisted and bastardised, and everyone in Britannia is seriously scared - not least because Lord Blackthorn's ascension to the throne has coincided with the arrival of three Shadowlords, demonic entities who pop up randomly at night in the towns of the land, drive everyone insane, and are seemingly unstoppable. It's up to you to get in touch with the resistance, find Lord British, banish the Shadowlords and defeat Lord Blackthorn.
The game does an incredibly good job at evoking an atmosphere of genuine foreboding and fear, not just in the player but in all the characters in the game. In terms of describing what it might be like for a whole population to live under a brutal and oppressive regime, the only game I can think of that's comparable is Half-Life 2. Personally I think Ultima V is one of the all-time great games, of any genre, and I have no hesitation in recommending it.
(You can download it free and "illegally" - it's been out of print for yonks - from Abandonia. Make sure you also download and read the manuals, because they spell out essential parts of the storyline, and one of the manuals is presented as the journal of Lord British's expedition into the Underworld, the details of which you'll actually need to follow when you get to the Underworld part of the game.)