With all respect to Xenogears' complexity, it really didn't do a stellar job of exploring it. IMO. Independence War was far from as complex, but performed better. One game that just has to be mentioned here is Planescape: Torment. Its complexity doesn't stem from conspiracies and secret societies, though. Who needs that when you have all of Planescape to muck about with?
Now... about conspiracies and secret societies... I have to say Xenosaga looks mightily promising, but I won't speak too loudly until I've played the final game (looks like only three parts now...).

Finally, a note on my new signature. This is 100% real, no joke on my part. Just a straight cut-n-paste-n-translate job (Swedish to English). And a little addition to show what program this is all about. W0rd!