I played a bit of a little game called Singularity, and that game's story gets complicated with the temporal back and forth. With all the stuff involving E99, time travel, being an alternate history where the Soviets performed an experiment on an island and it went horribly wrong...
Also, the story of the Fallout franchise has some complications as well, and a lot of theories surrounding it and it's surprisingly bulky on story when you read terminals and look around the open worlds of the series.
Pokemon Mystery Dungeon 2 has a complicated story for a Nintendo game I gu