My favorite has always been the Half-Life universe. A post apocalyptic world where aliens are able to invade and take over Earth in just 7 hours. They shuttle people into large cities as a work for and then start draining earth resources. They also add even more species of aliens from different dimensions that fight you or fight along side you, depending on the game.

Something I think is especially cool is that the Half-Life universe also includes the Portal universe. Black Mesa and Aperture science are competing research facilities and the Borealis ends up in both games.

For me, it goes a step further when you start researching the beta version of the game. It was like a whole different universe. They had this tall monster things that breathed like Darth Vader and burnt corpses. The beta also had children, working in factories and buildings that sucked oxygen from the air. It was a much grimmer dystopia then the actual release.