Thanks for all the suggestions, I have never played an adventure game(no idea why, just need gotten around to trying one), I played a couple of the GTA(San Andreas and 3) games but never found the stories in them particularly enjoyable. Mount and Blade is one of those ''make your own adventure'' type games right? I quite like those, but not really in that kinda of mood at the moment, just looking for a more structured story experience, but I will probably pick it up during the upcoming summer sales.
For now I'm just about to start playing Bioshock, I heard from a lot of people that Bioshock Infinite is one of the best stories in gaming in a long time, so I figured I should play the first to understand the universe better before I get in to Infinite. Afterwards I will defiantly look in to adventure games, I see you both suggest The Longest Journey and it is quite cheap on gog, so I will defiantly try it after I finish Bioshock.
Thanks again for the suggestions, I will keep this topic bookmarked for when the summer sales begin