Not many. Of course, I don't like "epic" storylines, but more thoughtful and original ones, as well as deep. Link's Awakening had original stories, but they were a lot more simple than The Wind Waker's, and perhaps even The Minish Cap's(both of which I liked).
Of course, I liked GTA: San Andreas's story as well. Most of the Sonic game's stories have s*****, but I thought Sonic Adventure 2's and Shadow the Hedgehog's storylines were decent, and Sonic and the Secret Rings was a good breath of fresh air.
Recently, though, I've been playing Prince of Persia: The Two Thrones(on my brother's PS2. I'd get the port for the Wii, but there are other games I want more), and the story in that game seems interesting so far(just passed the first boss, which took about a million tries on easy). Maybe that's because I haven't played the first two, though.