Have you tried
Good Girl Gone Bad? Don't get me wrong, the choices there don't affect history or the world - as in the globe. But they affect the way that the story plays out. In that way it affects the world that the protagonist is in.
City of Broken Dreams is another contender. I'm not really into 3DCG, so I never finished it. Still, it is clear that you have choice and that they matter to both you and those around you.
Lastly, you can try
The Last Sovereign, which is a great game. It is one of those games where game play and story is put
before the adult content. That makes for a strong story, which is great and quite refreshing. The down side is that the CG looks very dated. I've read that they are in the process of updating it, but.. yeah. Still, you have some amount of choice, and it seems like it matters what you choose - also to the world.