Gothic one and two are really good. In the first game you are dropped into a prison colony and very soon a guard will try to extract protection money from you. In any other game the guard would just kill you, instead you will meet another guy asking you for help. He then lures you to a secluded space reveals that he was sent by the corrupt guard and beats you unconscious to steal your money.

Another game I will never stop recommending because of its worldbuilding is the excellent Enderal: Forgotten Stories. I really like how it depicts the theocratic society of the continent the story plays out in. The story about what initially seems like a standard fantasy thieves guild but is actually a cult that shuns emotion and try to transcend the physical body, is also really good and ties in with the overarching plot of the game.