You have to check out any game in the Amnesia series. The character wakes up without any memories, and you have to help them navigate the world and also regain their memories. Each game has a different character, but the premise is the same.
And the best thing, the games do not have save points. Yeah, the developers made them so they could be played in a single, uninterrupted playthrough. Any mistake is permanent, and death in the game means starting over completely.
However, the games are designed to be short intensive experienced lasting 30–60 minutes, so starting over is not the worst thing ever.