If you have Neverwinter Nights, I definitely recommend the free Prophet series, starting with this Prologue.

Have you played Gone Home, The Stanley Parable, Thomas Was Alone, Papo & Yo*, To the Moon*, Trauma? I haven't played it myself yet, but maybe Kentucky Route Zero would be worth a look, too? Or Brothers - A Tale of Two Sons?

* These two are currently part of Humble Bundle X by the way, for as little as $1 or whatever you deem they're worth to you. The "mature" themes they treat are alcoholism, child abuse, death, meaning of life and dealing with people who are different (can't specify the last one without giving too much away). It's beneficial if you're not the type who judges a book by its cover.

You might like the Daedalic adventure 'A New Beginning' especially if you've ever considered voting green

Your mention of "heroic military-praising" shooters reminded me of 'Spec-Ops: The Line' which looks like one of those on the surface but has hidden depths, so I hear (daily deal on Steam right now too!)

I also hear that the Telltale version of The Walking Dead is full of characterisation and tough decisions

That's all I can think of at the mo'

I'm currently playing the first Cognition episode (thanks to Schnuff!). Serial killer police psychological thriller with a twist. Not bad so far.

Ultima 5.

I'll second Sanitarium and Papers, Please.

Silent Hill 2

The Walking Dead.

Clock Tower.

While I agree that the AAA game industry is up a certain creek without a certain very useful instrument, I do think that it still allows some great shit to slip through the net. I mean, one of my favourite games of all time and without a doubt the most pleasant surprise is a third-person modern military shooter - Spec Ops: The Line.

EDIT: I might as well mention that, amazingly, Hotline Miami does have a point to make as well, even if it does it pretty covertly.

True enough, maybe I have been too harsh (or just very unlucky with the major titles). I heard the name "Spec Ops: The Line" quite a few times today, and from a lot of different places: I'll probably pick it up. Military shooters surely need something new.

Dunno, I haven't played many newer AAA games in the last years due to my shitty graphic card, but now that I'm able to, I've actually enjoyed quite a few of them, like Tomb Raider (2013), Saints Row The Third, Dishonored, the Mass Effect series, Skyrim etc. They may not be perfect in all aspects, but IMO old games and indies aren't either. And they may not always have the most mature content, but what's wrong with some silly fun once in a while? And it's pretty tough to find any game that can compete with Planescape Torment with regard to the storytelling, old, new and indie alike.

That being said, I think I can still find more indie games that appeal to me than AAA games. I'd like to play more AAA games but it seems the choice in them is rather restricted to a few popular genres and settings, many of which do not interest me that much.

I recently finished Papers, Please and The Cat Lady back to back, and would highly recommend both of them as mature titles. The Cat Lady tackles the subject of clinical depression without being either an unbearable downer or an obnoxious exercise in self congratulatory artsyness.

As for Papers, Please, let's just say that it's not every day that a game comes along where you learn things about yourself.

I remember BlueMooner had a topic like this one some time ago - you might want to look for it.
I'll second The Cat Lady and Sanitarium, and mention Planescape: Torment. And maybe KotOR 2, which takes an interesting view on Star Wars universe.

Never said there is something wrong with silliness! I love games with no story at all -like the old platformers, for example- or comical ones -like Anachronox- and usually play for fun, not for philosophy. I even laughed at some of Lo Wang's jokes, and those are notoriously awful! :)
I like any kind of game; I was just observing that mature themes in gaming seem pretty rare today, and more so in big budget titles.
I agree with you that no game is perfect, but in my opinion the vast majority of the AAA titles today is shallow and unchallenging, while the indies try harder to offer something fresh, especially gameplay-wise.

P.S. Of the games you mentioned, I found Dishonored to be good. It gave me that "Thief feeling" I was missing since 2000, being Thief my favourite game ever... but the guards are just plain stupid, even at maximum difficulty: if something stays higher than their hats, it is to all effects invisible.