Storyline-wise, it's gotta be Umineko. It's complicated and may seem incomprehensible at times, but underneath the superficial confusion lies a really, really well constructed and layered story with superb integrity and consistency. And it's not handed to you, you have to put in the effort to understand it yourself. But once you have the full picture it's simply beautiful.

Gameplay-wise I might have to go with Dark Chronicle, not necessarily because any individual aspects are complicated, but more because at some point I suddenly felt like I had a million things to do and nothing to start with.