Only two I can think of:
Halo 4
Had no idea what was going on due to the game relying so much on material from the books. I still don't remember who or what the Didact is except he has a weird face. And his goal was to turn people into digital skull robots or something?
Final Fantasy 13
I played this game for at least 5 hours and I still had no idea what was going on. Who are these characters? What is going on? Who are these people being rescued? What's the deal with the world this game is set in? WHAT IS HAPPENING?!
I need some kind of reference poi t for the games I'm playing, whether it's someone explaining what's going on, figuring it out through clues in the storytelling or environment, etc.
For example, Final Fantasy VII starts off with a big action section in a world you don't know anything about yet, but within a few minutes you're given at least SOME context and soon after that Barrett basically explains everything to you. It also helps that you can tell you're in a big city, even if it's a fantasy city.
FF13 just felt like nonsense of hyper futuristic stuff. Am I in some kind of city? Space station?
I seem to be on a rescue mission, but who am I rescuing and why?