Oddworld: Strangers Wrath.
Remember Abe, how you had to escape a factory that risked you becoming tommorrow's lunch and rescue your fellow enslaved? He's not in this.
Remember Munch, that weird mutant fish looking guy who was almost certainly incredibally edible? He's not in this either.
Who is in this? A stranger. This is Oddworld, and it's nothing like you remember. With a mysterious illness your one goal is money. Lots of money, cash, moolah, greenbacks, to pay for your treatment. How do you go about getting alot of money quickly? Bounty hunting of course! But then, you need a gun. And guns don't come easy, nor do bullets. You know what works better? Angry squirrels, twitchy spiders, ravenious spine balls with teeth, skunks, shot from your crossbow.
This is an open world game with some mild platforming and switches from first person shooting to third person running, getting into cover, and simply bare knuckle combat like nature intended. This game can easily be as mean as the old Oddworld games, and it's your choice how much meaner you get when your life is on the line, the target's in your sight, and two creatures in your crossbow. Do you hit the kill trigger, or the capture trigger? Clock's ticking, and you better make your move.
Dungeon Keeper
This one is for you if you enjoy RTS games. You have to manage a dungeon of imps, crawlers, demons, expansion of said dungeon, funding of said dungeon and imps demons ect ect, and killing your foe. I'm not going to get too fancy with the writing, so I'll let this person do the talking for me.
http://www.youtube.com/watch?v=XPt8jKprbVA Alone in the Dark 1+2+3
This series is the precursor to all horror games made after it. Claustrophobic environments, easy deaths, creepy atmosphere, puzzles, and three whole games who's purpose is to to see you very, very, dead. Plus, three games for the price of one, what beats that?
By the way, I think it's my duty to point out a couple more games to try that aren't on GOG, though wether that means a used copy or Steam is up to you.
Majesty: A Fantasy Sim
"Your Majesty, the Palace is under seige!!!" is a phrase you'll learn to love much, much more than you should. A non-traditional RTS game, as king you rule how to build your kingdom, from the heroes that populate it to the markets and services you provide. But don't be fooled, because like any king, you can't just force someone to do something. The people wander your towns of their own free will, the economy working without you, the heroes going off on their own, while monsters surround you on every side. So who will defend your kingdom? Will you take the stout, brave and loyal warriors guild? How about the rangers who will support other heroes, and love to explore the unexplored? Maybe the Rouges guild, full of lovable little bastards who's only loyalty is gold wherever they can find it. And balance that out with the Wizards, easy to kill but destined to destroy the world should they live long enough to master the spells in the local Library. Will you take on the slummish worker gnomes, the hard hitting and hard building Dwarves, or the carefree gambling archers in the elves? But those aren't all the heroes. The barbarian followers of Krome, the healing pristesses of Alegra, the wicked necromancer priesteses of Krypta, the monks of Dauros, the cultist druids of Fervus, the swift runners of Lunord, or the mace weilding amazons of Helia? Not all of them get along, and you have to decide who's the best chance for your kingdom. The taxes have been collected, it's time to decide your fate as king.
The Elder Scrolls 3: Morrowind
Considered one of the best in the series, this was the first to remove the random map aspect of the game in favor of a constant map, allowing for a heavy detail to story and atmosphere. Morrowind is a strange place, from the Red Mountain that summons Ash Storms across the land, to the southern beaches where mushrooms stand tall as trees, to the forested east and the barren norths. This series focused on you being what you want to be. Don't want to follow the main story? Screw it then! There's much more to see than that. Voted Game of the Year in... 2001 I believe, this game includes a creation kit allowing you to build towns, lands, cities, peoples, books, spells, weapons, whatever, allowing you to change the world as you want, or simply make your own. While a bit dated, it's still a wonderfully designed game, with excellent music and a vast story and world to it, if you care enough to look for it.
Some warning to this game: Unlike the future titles, this one relies on hidden rolls. That means that accuracy and skill can sometimes mean little against those rolls. It also has a few bugs, but there are many many fan made patches and fixes and mods to the game that do everything from making it look as pretty as Oblivion to changing the world as you know it.