Hmm... Technicall, I'd consider games in general to be works of art, in the same way I would consider music and film in general to be art. Basically, I think of all creative work as art on a basic level.
In the sense of being something truly beautiful, inspiring, and emotionally captivating... Ocarina of Time, Shadow of the Colossus, Final Fantasy X, Bioshock, Gone Home, and Dear Esther, to name a few.
It's not just about stories and experiences, though, though those are certainly where I focus. Some games I've found to be magnificent in how well put together they are, in how well they play. Dungeons of Dredmor is very satisfying in the attention and forethought it demands from you. You have to have a plan for your character, for your playthrough, and for individual encounters (especially those Monster Zoos).