I'd have to say L.A. Noire, because it actually made me have to think when I interrogated people, investigated crimes and all that. It also gives you a look of LA in the 30,40s, and I think 50s. I forget the time setting. Anyway, you had to think in order to get the cases right. And you could end up arresting the wrong people.
Aside from that, RDR2 always makes you think with the subject matter. I think The Blackangel put it pretty nicely. There's just so much going for RDR2 in terms of its story, setting, characters, etc. It also gives you an idea of that time, the hate, the fear, the way of life and all that.