Depth is a term used to describe players making skill-testing choices without a clearly correct answer. Many decisions in games have a clearly correct answer - shoot the enemy in the weak spot, avoid the enemy attack, study and react to the enemy pattern, choose the weapon with higher DPS, and so on. Depth arises when the solution isn't so clear-cut and the player needs to consider what they stand to gain and what they stand to lose by making the decision. Players are thus able to demonstrate their skill in the game through making good decisions.
A good example of this would be the game Vampire Survivors. Vampire Survivors has fairly simple gameplay, but the power level of the enemies ramps up fairly quickly. In order to survive for longer, it is imperative that the player chooses a strong build. Due to the random nature of the availability of gear during the game, there isn't a clearly correct optimal route that a player should take - there are constant choices and tradeoffs that must be evaluated, with the player needing to weigh short-term against long-term strength (along with all of the other environmental factors). Many good roguelikes have a similar gameplay loop where the choices are plentiful but lack clear winners, making part of the demonstration of player skill through the choices the player makes over the course of the run.
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