Very hard to give you an example if by 'deeper' you mean 'just about everything'. Granted, I actually disagree with you in terms of GTA SA and V, the story was considerably more intricate in V, more complex, well told despite that and the gameplay was by no means a step back, either. Anyway, examples of games that are somewhat recent and compare well to games from the 90's. Off the top of my head:
- StarCraft II: Very streamlined, minimalistic in parts, sticks to the formula that made the original incredibly well received. The gameplay's been polished further while the original feel has been preserved. The story was expanded in a decent manner as well.
- Cities: Skylines: Very recent game; city builders and economic managing games were available by the dozen in the mid to late nineties and early twothousands and the genre died down ever since. Cities Skylines offers a very polished approach while keeping the gameplay mechanically similar and every bit as complex as the games of old, while cranking up the scale, too.
- Demon Souls, Dark Souls, Dark Souls II: Need prove that there are challenging yet fair games around these days? Look no further. Very unique (among today's games) in terms of story telling, very focused on what the game wants to be. Little excess fluff aside the very smooth and accurate gameplay and by no means a high-fidelity title that relies on impressive visuals or stuff like that.
- Forza Motorsport (well, up to 4, don't know 5): Picks the same formula as GT but goes in a different direction, to a certain degree. Emphasis a few things differently, like modifying cars visually or community integration.
- Divinity: Original Sin: Isometric party RPGs are the bread and butter of western publishers when it comes to roleplaying and games like Baldur's Gate have long been untouched, but D
S doesn't have to shy away from that sort of comparison. Very detailed character creation and development, highly sophisticated, turn-based combat with lots and lots of thinking needed to progress. Comes with the same attention to detail to side-quests and stuff as the classic WRPGs did, too.
- Tales of Vesperia: I'm not into JRPGs, so I can't give you any more recent examples, but ToV was the perfect game to prove to me that there's more to JRPGs than Final Fantasy. The world building is surprisingly good, the character far more authentic and likeable and less over-styled than what you get in the more recent FF games. Huge amounts of content and a properly involving combat system.
- Rayman Origins: One of the best platformers I've played in recent years. Fast paced, properly difficult, incredibly nice art style, soundtrack and even a decent sense of humour. Got the tight controls down, too.
- Metal Gear Solid V: Ground Zeroes: Bit of a strange one to add it to this list, but a game that actually goes and drags the focus of a cinematic franchise like MGS back to the gameplay, that's no small feat. Bonus points for being a promise of what's to come.
Some more games to consider: Bastion, Transistor, BioShock Infinite, Dota 2, Skyrim, The Witcher 1 + 2 (and soon 3), Red Dead Redemption, Super Mario Galaxy, Borderlands II, Besiege, World of Goo, ArmA 2/3 and mods like DayZ, Crysis 1 - 3 (very personal pick...), the Total War games, Diablo III if we're counting the Reaper of Souls add-on and World of WarCraft simply destroys every MMO that came before it. Some games I've heard a lot about but have had no hands-on experience with myself include the Mass Effect series, Shovel Knight, The Binding of Isaac (Rebirth), the Walking Dead, Journey, The Last of Us, the Dragon Age games and the Uncharted franchise.
And I bet that there's a whole slew of games I've completely missed.