It's hard to put a finger on it, but it was a combination of a truly imaginative setting on-par with a decent science fiction movie or novel and the "show, don't tell" style of proper world-building. It presented a uniquely interesting dystopia, discoverable through a game instead of a movie or book.
I think it was one of the first games I played that was dark. For example, the "police" are cybernetically enhanced, but in a disturbing way ("transhuman"). The low-ranked troopers "just" have permanently worn facemasks a bit like Darth Vader, with an implication that they may not be functional without them. The higher-ranked shock troops have increasing levels of augmentations until some have only a single central "eye" in their visor. You shudder to think what's hidden underneath.