Hades is a great example of this. You start out as the son of Hades, lord of the underworld. You want to escape his realm, so you try to fight your way out. Along the way, you will die and fail, and you just get sent back down to your father's house, and he gives you a bit of a hard time about how weak and ineffectual you are.

The plot unfolds as you interact with various gods and other figures in the underworld, over the course of your many attempts. Saving and reloading isn't really a thing, as such, but the plot continues to unfold, even as you die over and over over and over.

Edit:

This is a great time for me to rave about how much I love the storytelling in Hades. In a book or in a totally linear game, the story looks like this:

You start at the beginning, you proceed directly to the end. You have no choices in how the plot progresses. This is fine in a book, and I'm sure there are some games where it works okay, too.

Most games with "choices" go like this:

You might make a few choices, but a lot of them either end in a false ending or take you right back to the ending that the writers planned all along. It can give the illusion of meaningful choice, but it can also start to feel hollow once you see where the railroad tracks are.

Hades works like this:

All of the characters in the game (and there are a lot of them) have their own linear plot that is unfolding as you play the game, and you are learning about any one of them at any given time. You don't have many meaningful choices to make, but it still reads as a very compelling plot because all of your interactions deepen your relationship with each character in turn. It saves us all from the fake choices that a lot of games stick us with. It's genius.