The unique setting. A graveyard is not a common setting for a game story. It allows for a lot of creativity. You have the dead, the religious elements, and the superstitions of the villagers all playing a part. The story takes this setting and builds a world full of intrigue, where every decision you make as the graveyard keeper has consequences that are intertwined with the overall narrative.
The combination of different gameplay elements with the story. When you're building and managing your graveyard, it's not just a mechanical task. It ties into the story. For example, how well you manage it can affect how the villagers view you and that in turn is part of the story. Also, the interactions with the strange characters, each with their own backstories, add to the richness of the story.
The mystery aspect. There are so many unanswered questions in the world of Graveyard Keeper. Who are you really? What are the secrets of the graveyard? This keeps players hooked as they try to uncover the truth.