This could go on either side, but oh well.
What are some TV shows, games that have a surprisingly deep story/background?
For example, take Bloodborne.
It doesn't really give you all the story details, but it gives tons of hints throughout the game. It ends up being a game where you could play through the entire thing several times and not really understand what's going on.
Game of thrones has more depth than anything I can think of. It really has insane amount of back story and lore
The Witcher 3 also has a HUGE amount of more and backstory.