I'm sure we'll all agree that games are and should be considered art.
It depends on how you look at it, from an art history point of view, and relating "art" to the contemporary art world, games are absolutely NOT art. Games are products of entertainment and consumption.
If you think about art as part of the human expression and the culture we create, in the broadest sense of these words, games, just like movies and music, can be considered art.
With that out of the way, and hopefully not sounding condescending, which is not my goal here

I would say my favorite "game which I consider to be art" would be
Death Stranding. Which kind of hurts, because I'm a very visual person and I love bright, colorful, experimental stuff. But the thought provoking nature of
Death Stranding, not only about it's weird story and philosophical layers. But also the role and actions of you as a player. Transporting, manual labour, in order to fix something broken, to connect people again, with online connectivity too.
Damn. Kojima made something Precious.