"Impressed"? That's a high bar - different than just "entertained" - but three games come to mind:
1. TLOU, the first. I played it a decade or so ago. The characters, dialogue, and voice acting all impressed me as well above normal videogame expectations. To be clear, I would not have been impressed were it a written story, but the fact that I found qualities like this in a videogame impressed me.
2. Hellblade, the first. I was impressed that the developer made a good-faith effort to translate the inner experience of schizophrenia into a videogame. They consulted psychiatrists and people with schizophrenia. I thought it was a very creative project. They did a credible job with the weird visuals, the "voices' via binaural audio, and all the rest. I found the idea of battling inner demons come to life compelling. Not everything worked, but I was impressed by the ambition and creativity.
3. Journey. I was impressed at the developer's ability to tell the story of the cycle of life without words. Very memorable.
Now, I have enjoyed plenty of other videogame stories - the first Uncharted games, the Mafia series, Horizon ZD, a couple Yakuzas and the first Mass Effect, for instance. They haven't "impressed" me, but they have entertained me and kept me engaged. That's generally all I'm looking for in a videogame.