Well, I only finished it for the first time recently, but Planescape: Torment carried a lot of aspects with it that I very much identified with. Especially the faction known as the "Dustmen", which is an organization that revolves around the idea that all should strive to achieve a true death (otherwise known as total non-existence), to rid themselves the pain and suffering that is endemic to existence in all its forms.
I'm playing Disco Elysium at the moment and, that too, has a lot of stuff that gels with me, insofar as playing as a hapless character that's swiftly slipping into oblivion. As someone who's equally hapless and pathetic, a lot of what's there speaks pretty hard to my own situation (minus all the substance abuse stuff). On top of that, there's lots of writing that either perfectly encapsulates the profound hopelessness of a supremely fucked up character trying to get a hold of themselves or directly points out what a sad, futile and absurd wasteland the world is.
Aside from that, I've played a lot of random indie games where suicide has been the major topic. From somewhat well known stuff like The Cat Lady, to super obscure things like Middens. Not a lot of games ever tend to tackle to subject matter, so those few that do are, in a small way, kind of memorable to me on that basis. Someone else mentioned the SH series and that would definitely fit in this category. SH2 would be my favorite, but I feel like SH4 better reflects how it it is that I actually live and experience life, what with its immediate premise being about a man locked inside his own apartment, just how in a similar sort of way I'm "locked" this house. The visual representation of a door barred with chains from the inside that can't be undone, with letters in blood literally saying "Don't go outside", couldn't sum up my predicament any better.
As far as games in general that I like or that I feel are personal favorites, well, it's tough to narrow it down. System Shock 2, Deus Ex, and Thief would definitely be the holy trinity for me as far as PC gaming is concerned. Age of Empires, and RTS games in general, was something I was quite into as a kid. I also enjoyed many of the big PS2 platformer franchises like Jak and Daxter, Ratchet & Clank, and Sly Cooper. Never played any JRPGs, since I don't know. I just never thought to check any out, basically. There was lots of other stuff like RE4, Shadow of the Colossus, Elder Scrolls, or SW Jedi Academy, but I could fill the whole thread with random games like that.
Anyway, I probably would've given up gaming long ago if I actually had something better to do. Sadly, I do not. Sites like these aren't enough to fill the void for me, nor can even the internet itself. Other forms of media entertainment are the same way. If I weren't forcing myself to play video games whenever it is I can manage it, or watch some random show/movie/anime, or exercise, then I'd literally just be staring at the ceiling, listening to music, and sleeping. I have nothing to say or add to 99% of the threads on this site, which is just the same case on any other website. As opposed to most here, this leaves it not much of a way to kill time, I'm afraid. Everything is hollow and empty. And this place isn't an exception, no offense. I'm not sure that anything could ever not be this way for me, frankly.