3D Games With An Engrossing Story

• Bioshock
• A story about my Uncle
• Borderlands

Spec Ops: The Line

Bioshock Infinite is also good, in addition of Bioshock 1 and 2.

I can vouch for Spec Ops The Line.

Wolfenstein The New Order
Metro 2033 and Last Light are a bit open to exploration but still good and pretty much all of the above.

Deus Ex, the original and sequel/prequel. Some would consider them open world, but I just consider them really big levels with open ended approach to solving.

How about some point and click adventures? The Longest Journey, Dreamfall, Grim Fandango.

Psychonauts!!
There is a possibility for a little wandering around, but just general non-distractive location exploration that adds extra fun
And it have interesting engaging story, fantastic original world (or rather worlds), unique gameplay mechanic, and a loooot of fun!
And just please play it! Please? ^^

• Warcraft 3 - easily has one of the best stories I've seen in a game.
• Fahrenheit - since you mentioned Walking Dead, it has very similar gameplay.

Tomb Raider, Spec Ops The Line, Hitman Absolution, Metro Last Light, Call of Juarez Gunslinger (<3), The Darkness 2

Mass Effect, particularly the first game

Vampire the masquerade: Bloodlines :)

Dark Souls. At first glance you'll assume there is no story, but then you'll notice the little things; item descriptions, the words between lines that npc's say. It's all there, but hidden well. Totally my favourite game of all time. The lore is just beautiful and amazing when you get engrossed within it. Especially if you watch lore videos or something similar. :3
My opinion however is completely biased upon this game, but hey, what can i do?

Knights of the Old Republic... A masterpiece...

I will add Fallout to the list. I got New Vegas some time ago and it's just amazing.

But it's open world.

far cry 3 , best fpshooter best story best graphics best everything.

Manhunt 1 and 2.