Though I realize I may be speaking to myself at this point (or at least largely so, though others have popped in)...
I just played what might be my new favorite game: Sherlock Holmes Consulting Detective
http://www.boardgamegeek.com/boardgame/2511/sherlock-holmes-consulting-detective
It's unfortunately out of print, so there's no such thing as a cheap copy (got mine on Ebay for about $60+shipping, which is cheaper than most copies). But it's incredible.
You're given a case description, the local newspaper of recent events, and a directory and map of London with literally hundreds of potential people, places of interest, etc. to investigate, and the game lets you go with it. There are no rails. You're free to follow leads down obscure rabbit holes, question or ignore individuals, and even pursue side cases. It's almost like a choose your own adventure, with just as much reading, but it's all incorporated in a way that makes you feel like Sherlock Holmes. No hand holding, and lots of deduction necessary. Some clues will come from the crime scene, suspects, or people involved in the case somehow. Others may come from a stray comment in a newspaper that relates to something a suspect said. Sometimes it will come from the map...he said he was at {x} at 7:30pm, so he couldn't have committed the murder at location {y} at 7:15pm, which is at least 45 minutes away by foot or carriage.
Then you have to solve the case. Unlike a "Choose Your Own..." there's no location where you arrive that says "YOU DID IT!" You have to deduce it from the evidence you've gathered. And it's not easy. My gf and I played through the first case....it took us about four hours! We successfully solved the crime and lots of side stuff, but the secondary challenge is doing it as quickly as Holmes did (which is nearly impossible). We took FAR more time than Holmes to solve the case, which deducts from your "Case Score" at the end. It's co-op by default, but can also be competitive, where players each play separately and try to "beat" the others by solving more stuff or solving it more quickly.
It's not for everyone. Some will dislike all the reading and note-taking required. Others will get frustrated (we twice took breaks to decompress when we felt stuck). But the overall experience was unique and incredible.