First post, by snorg
The only one of these I can think of off the top of my head is "Beneath a Steel Sky" (great game, btw, pick it up already off GOG.com for free if you haven't already)
You have the main plot of getting to the bottom of why you have been abducted, but there is a deeper theme of class struggle within the game.
Deeper than that, though, is a much more subtle Nietzsche-esque message. The character Robert Foster is called "Overman" by one of his enemies (I don't want to spoil it for anyone, so I'll keep things vague).
Through the course of his adventures, Foster/Overman upgrades his robot buddy, Joey, into better more capable "shells" (continuing with the "superman/ubermensch" theme). By the end, Joey has gone through a radical transformation from his humble beginnings. So too, has Foster.
Anyone else who has played the game agree with this analysis, or am I reaching? Are there other games out there that have more to them than surface appearances would lead you to believe?