Ahem tbh, I think the xenosaga Trilogy has a better story than Xenogears. I think the Zero Escape series has the best plot of anything that ever existed so there is that.. That's just me though.
I love the Zero Escape series to bits but don't think I could ever say it had the best story but as mentioned before, it is all subjective. People like different things and what may click for one person, might not interest another that much. That said, I do like the story in 999 and VLR. It is just, they seem pretty convoluted when I look back on them. Similar to how I loved the show Lost but looking back and thinking on episodes, it seems kind of ridiculous.
I like the stories from Nier, Planescape Torment and The Witcher. Then there are pieces of the story from certain games I really enjoy. I love stories where people face their inner demons like in Persona 4 and Z.H.P. Unlosing Ranger.