With regards to "Hidden Depths"...
The old GC title "Baten Kaitos" did something unique with its mythos that I haven't seen many other games do. It straight up misleads you.
In that world, Gods and humans co-existed in harmony until one day the humans offended the gods in a transgression that led to open war. In the end, the humans won, but the corpses of the fallen gods released a miasma that poison and polluted the land in which they fell. The conflict was large enough to engulf the entire planet in this miasma. To escape it, the greatest humans mages uses all their power to lift the 5 major continents into the sky suspending them above the miasma safely and remained that way to the present day where the "game" takes place.
Now why did I explain all that? To bring light to the fact that you don't learn that till you're almost 3/4 through the game. But up until that point, you hear about half a dozen other false/inaccurate stories about the "origins of this world" from people who think they know, but don't. In some, the Gods struck first. In others, it was all a cosmic accident. Regardless, so many years have passed that the inhabitants have forgotten the truth and now every village mystic has a different legend. Each new story you hear increases your understanding of the world bit by bit, but at the same time is also completely wrong until you finally meet those who know the actual truth. To me, something like that can really help a world feel real because misinterpretations happen all the time. Also it keeps vital information from the player until the time is right. Not saying that Deadhaus' story SHOULD be told this way, but I think utilizing "Forgotten Knowledge" in a narrative like that is an interesting method that really hooked me personally.