Sanjuro: Might and Magic 3.

Sanjuro: You start the game in prison and the first mission is your actual escape from there. You find some weapons soon enough but you don't have to kill the guards, instead it's often a better idea to just sneak past them (this doesn't change later in the game, you can play the game in a violent style, sneak past enemies or combine those approaches). Your ultimate goal is to prove you were wrongfully accused and help restore the order in the city where the game is set.

omega64: Dishonored.

omega64: You die, sacrifice someone to save yourself and kill the bastard(s) that murdered you.
This happens multiple times in the game.
The first time you die is suicide.

Sanjuro: Might be the Darkness.

omega64: You die, sacrifice someone to save yourself and kill the bastard(s) that murdered you.
This happens multiple times in the game.
The first time you die is suicide.

Sanjuro: Could you describe the protagonist? Is he bald? Does he have red glowing eyes? Is his name Caleb?

Fever_Discordia: Wait, what? How do you avenge a death that's suicide? Whoa - metaphysical!

omega64: You're a woman. :P

Sanjuro: Ah, a lady then. A Cat Lady, no?

Sanjuro: I'll go with another "In the beginning there was..."
This game begins with you arriving to a town that has a certain problem you may (and eventually will) be able to solve.
The people you meet during your quest include an absent-minded airship pilot, a ghost looking for someone, a beggar who is not what he looks, a cat lady who wants you to find her missing pet. Where will your travels take you eventually? Sorry, that would be a major spoiler. :-)