Metal Gear Solid is an example of a game that does this pretty well: It is good at explaining all the weird, random shit, but also leaves enough ambiguity and a clear sense of a larger world to inspire the imagination.
I love the Hotline Miami games, but this is a problem with them: Most of the first game was weird and inspired my imagination, but then the ending and the sequel explained everything so thoroughly that I had nothing more to consider. I wish the games had more mystery.
Bayonetta is good at this: It gives you the framework of a world, with colorful settings, characters and an exciting war but it leaves a lot of holes. I was inspired to think about how everything fit.
Shin Megami Tensei does the same as Bayonetta, though with a lot more depth.
Spec Ops: The Line did a very poor job of communicating and expatiating its ideas, and never rose above the most simplistic examination. See Gamesins's video, which covers it quite well.
Metal Gear Solid Rising: Revengeance did what Spec Ops tried to do far better: Your character is a cybernetically enhanced guy in a world where minds can be transferred between bodies, making death nearly impossible. His enemies, however, do not get this luxury when he kills them, as their minds contain sensitive information which the militaries want to hide. He is told that these enemies are not to be empathized with, as they signed up for dangerous jobs and knew the risks. This illusion is shattered in one scene when the villain turns off the electronic manipulation of his brain, showing him the truth: That his enemies are innocent men, constantly screaming and begging for life because of everything they will lose and everyone who depends on them. This one scene is far more effective at making the same points than the entirety of Spec Ops: The Line.
Dropsy is great at doing this: All of the text is illegible and the dialogue is incomprehensible, but it still manages to tell a good story until the abrupt ending. You have to fill in the blanks because literally nothing is spelled out, and that inspires the brain.
Rayman is also successful, presenting a variety of strange worlds in multiple graphical styles and never giving a clear view of how it all works. It really makes a great playground for the imagination.