Dead Space, my favorite game of all time. All HUD elements are holographic projections from your suit and weapons, integrated into the game world and moving with the camera. Your health meter is a series of light segments going up your spine, and the meter for one of your abilities is a pie-chart style light on the back of your right shoulder. Even the objective markers are a trail of light projected from your hand when you press down on the control stick.
Borderlands 2 is my favorite in the franchise, for sure.