I find that a lot of games tend to beat you over the head with whatever their message is. I found that a lot with the Persona series in particular, though I still love those games.

Having said that, I honestly think that Fire Emblem: Genealogy of the Holy War (one of the old, untranslated ones) is very deep in that the story isn't spoon-fed to you, and you need to make a lot of inferences that you wouldn't with a lot of other games. The game is split into two halves, the first and second generation. The protag of the first generation, Sigurd, seems at first to be a pretty generic hero who is betrayed by a friend etc etc, until you realise later that it was his own ego that was his downfall. It's subtle, but it's done well. After finishing the first generation I just had to sit back and let it sink in for a bit, which I think is a sign of an excellent game.

*goes off to replay Genealogy of the Holy War even though it's super hard and I can never finish it*