Shadow of the Colossus has been a long-time favorite of mine.
I also liked Fatal Frame.
I think I also remember enjoying Rule of Rose, but I have very little memory of that one. I just remember it was weird.
I strangely haven't been in the mood recently to play anything other than emulated NES/SNES-era games. I'm open to recommedations (yes, I already played CronoTrigger).
I've been replaying Ender Lilies recently. Probably won't play through the whole game again, but I was in the mood to see it again after playing Ender Magnolia.
I'm also generally not a fan of musicals, but I feel like the show as a whole is still great.