For overall sound design Prey (2017) really nails it. The stealth mechanics are also included in sound design so when you get spotted or escape there's intense auditory cues that track with the thriller/sci Fi horror vibe of the game.

If you go into it expecting a first person shooter though you'll be disappointed, it's an immersive sim for sure. Shotgun sounds really good though and there's an experimental weapon called the Q beam which has a phaser sort of sound as it fires. Also really cool.

Also, Elite Dangerous has incredible sound as well. Guns sound alright but you won't be firing them on foot as much as in space most likely.