What about Psychonauts?
I never played it, but from what I heard about it...
I'm not sure that Psychonauts could be considered art. I know it could be considered a funny and clever story with damn enjoyable gameplay. But art? Hmm... up for debate, I guess.
On the other end of the spectrum, there's Dreamfall and its predecessor, The Longest Journey. Chances are you've never heard of either game. But still, there's art in video game form if ever I saw it. In fact, they are the rare kind of game where story takes precedence over fun gameplay. Probably the reason they never sold well.
Oh, and how could any of us forget NiGHTS? Not that crappy Wii abomination of a sequel, I'm talking about the Sega Saturn original. Not only did it have fun gameplay, but it had an open-ended story completely without text. That was art.
And finally, Beyond Good and Evil. Another masterpiece artwork of a game that nobody played.
I encourage each and every person reading my words to find these games. With the exception of NiGHTS, many of them can still be found and played on PC, if nothing else. Still, if you want proof that video games are art, these and "Shadow of the Colossus" are the finest examples I know of.