Honestly, I feel like the original Deus Ex sorta ruined gaming for me. Nothing comes close to the experience this game provides. It offers thrilling, open-ended gameplay, brainy, but not too brainy to distract from the action, the plot is engaging, the atmosphere and the soundtrack are spot-on, and there's a hefty dose of important philosophical and sociopolitical ponderings to boot, which don't feel tacked-on at all. Does anything come close to it? The first two Fallout games are the only things that came close to this experience.

Are there any games so shattering in the way they affect one's psyche? The only thing that comes to mind outside of the two Fallouts are Ico and Shadow of the Colossus.

The Stanley Parable.....

New Vegas does a good job at that, I think.

Less on the political side and more on the moral there are Pathologic (at least the first one, haven't played 2 yet), and The Walking Dead Season 1 is very good at "testing" your ethics.

I hear that the first Bioshock deals with a lot of philosophical matters too, although it's linear, and I've heard great things about Torment: Tides of Numenera as well.

If you don't refuse sidescrollers Inside discusses auto- and heteronomy nicely. It completely foregoes speech but still does it far more advanced than Bioshock. However, it's linear (though offering two ends, the second quite difficult to find) and also relatively short. But at least for me, it was among the best gaming experiences since the original Deus Ex and Shadow of the Colossus. We might have a similar taste.

+1 for Inside too, which really leaves an impression, without any words. The designers really succeed at using plateformers tropes in clever ways that are meaningful on an almost instinctive level I think. Their first game Limbo really is just a prototype compared to Inside.

Another one that strays from these topics a bit but is spot on regarding posthumanism and the heavy topics revolving around it is SOMA. This one shares quite a lot of traits with Bioshock (underwater, horror themes (way more than Bioshock, you don't fight, and the abyss does have a nightmarish feel to it)). I worked some years ago on these topics for a master thesis and retrospectively this game could have been quoted and studied along with books.

They're more 'felt' than thought about though. And definitely not cheerful...

thief

When you refer to psyche-shattering, I cannot tell if you mean how the first game affected you since there was nothing like it before, and if this precludes the sequels. I didn't like the second game (though I desperately wanted to) but the third was better (I only just played it when it became available on Gog, so nostalgia hasn't affected my impression) and I will play Mankind Divided, next.

Planescape:Torment handles themes of redemption and the inevitability of death well.
KotoR 2 is another game that benefits greatly from Chris Avellone's writing.
For NWO themes I like Brave New World, which is a book not a game.

If you want a game with the same level of writing, and a similar "Immersive Sim" feel, I'd recommend Vampire: The Masquerade - Bloodlines. It's a cult classic for a good reason.

Unfortunately it was rushed during development, which means that the gameplay is, let's just say, not perfectly balanced. It's a shame, that game had the potential to be pretty much perfect.

If you're open to other genre suggestions, Sid Meier's Alpha Centauri (available on GOG); Deep, thought-provoking sci-fi strategy milestone.

Like someone said Stanley Parable and another quite philosophical game like The Talos Principle. Then there are thought provoking games like The Swapper, Heaven's Vault, Little Inferno, Ether One and maybe Portal.

If you're looking for something with similar gameplay elements to the quality of Deus Ex it might be difficult though.

Not close to Deus Ex on a political level, but the Mass Effect trilogy (1/2/3) deals alot with the ethicality of AI and its place in our ecosystem. The game also has a large diverse set of characters and villains that push and pull on your decisions and morality. I've sat and pondered many choices and regretted some that I made.

Not to mention great voice acting, cinematic direction and some amazing soundtracks that fit the mood of the game perfectly.