Another World (aka. Out Of This World) is an older game from 1991. It was one of the first to incorporate cinematic features in an action game. It used to be available as abandon-ware, but now they're re-releasing it. It was an amazing game, but bloody tricky. Some parts needed perfect timing to be completed.

You're a young nuclear scientist working on the particle accelarator one stormy night. During a test run, lightning strikes the facility and is accelerated towards the control centre. Upon striking it, you are blown into an alien dimension under control of a ruthless race. You are taken prisoner and spend the rest of the game simply trying to survive and escape from the prison. Flashback and Fade to Black were the sequels, but I never got into them.