Several settings come to mind... for a variety of different games... but, fundamentally, it's about party dynamic, NOT rules.
Several systems that provide mechanical support for such games include:
- Burning Wheel
(European Dark Ages through early Renaissance Fantasy; supplements for pre-shogunate Japanese, Dune, post-holocaust, and Vikings)
- Burning Empires
(Iron Empires setting - shattered big empire setting with wide variety of tech levels. Has been used for fantasy by some.)
- Mouse Guard
(Roughly early middle ages tech, but used by semi-antrhopomorphic mice in an almost realistic setting)
(Modern things going bad during a crisis)
- Houses of the Blooded
(Fantasy; Supposedly pre-roman culture with late medieval tech.)
- Blood and Honor
(Fantasy shogunate Japan, but readily adaptable to historical Japan.)
(Modern occult, but supplements for fantasy and post-holocaust.)
- Fate system games
Diaspora, Spirit of the Century, Legends of Anglierre, Starblazer Adventures
(Various settings. Weak recommend.)
It's a play-style issue, tho', so keep in mind that the above list are games with enforced play-styles. Mouse Guard is special, in that it highly rewards cooperation, but each character has explicit player-written goals for the mission, which need not match up. This has created in-party friction often, for good drama.
Burning Wheel and Burning Empires have multiple beliefs per character, and those can bring players into in-party conflict. Moreover, BE is strongly themed for two-sides at each other play from the get go, and over 4 players, some can be on the "GM's team"... especially since the GM has very little power in Burning Empires.
Most military games would provide a means as well - hidden orders from higher command need not be the same for all individuals; one might be a CID informer, one might have dual chains, like the S3 (Intelligence) officer might have conflicting hidden orders from G3, and the S4 (Supply) from G4... but in such a setting such orders must be low-key to not break the setting.
FATE is a special case. The system can, if the characters are set up right, support this strongly. It doesn't enforce it in setup, only once established in the outset. With the caveat that it only supports it in play if characters are built for it, it's a choice that can and does have mechanics which support and can encourage playing it that way.
Many point based games (GURPS, HERO, CORPS, EABA) have disads which can, if handled right by the GM, enforce this style of play, but they require that the players opt to take them AND the GM remember to reward them.