For me it is opening credits sequence in Nier Automata, Shadowlord's castle in Nier Replicant and AI reveal in MGS2. All these three games are masterclass in storytelling.
Agreed, they did it brilliantly I thought, very patient with revealing bits of info, building the story piece by piece. It was an amazing experience first time round.
The story in Horizon Forbidden West is pretty good too. There's a whole bit in the dlc about Ted Faro that I did not see coming, but it makes me think a lot of the tech bros running things today.
I’ve yet to play Alyx, but I have a similar experience with most of VR gaming. It’s an interesting experience, but the controller UX gets really annoying very quickly, IMHO. I’ve had quite some fun playing Elite Dangerous until I got bored. The only VR game I play with some semi regularity is Beat Saber, especially when a good pack comes out…
Get Pistol Whip. The whole idea was to make hybrid between Beat Saber and SUPERHOT and it's so much more than the sum of its parts. And it's still getting updated. A new (free) expansion just dropped yesterday. And then there are the custom songs that are only just getting started...