Bahnsen Knights is a beautiful nightmare
Bahnsen Knights knows what not to tell you. Its world is largely a mystery, because all that matters is the situation its protagonist Boulder is stuck way, way too deep in. Everything feels like it's about to come to a head somehow, even though you have very little idea what's going on.
Its world could almost be a post-apocalypse one, a feeling that persists even though it's unclear how true it is, how much is ambient cult brainwashing, and how much just the result of Boulder starting to lose himself after being undercover for far too long.