Rough Magic is an RPG with an interesting setting:
Rough Magic is a role-playing game of magic, mystery, and guns in 1960s Europe. Europe is united under the polished boot of the Franco-Prussian Empire, and hex use is ruthlessly regulated and (as a result) enormously profitable.
Think of a cross between Casablanca and Angel Heart.
Play is very loose, and players are encouraged to take initiative rather than simply hanging around and waiting for someone to kick in the door, guns a-blazing. Players are also encouraged to flesh out the setting and be creative, rather than passively accepting what has already been described.