I really like Heaven's Vault, but haven't managed to finish it. The world-building and atmosphere are incredible.

I highly recommend Hades! It's a top-notch game with excellently balanced combat (and I say this as someone who doesn't really like combat in video games), an awesome story, and outstanding art direction and voice acting. Because of its structure as a roguelite, you're restarting every time you die but getting a little further every time, so it basically trains you up. It really made other combat games much more accessible to me. Plus you can use God Mode to lower the learning curve a bit while still keeping it moderately challenging.