I would have to say the either the Guitar Hero 3 world, the FFXII world or the Never Winter Nights world.
The GHIII world would kick ass because you get to rock out, get rich and have a guitar battle with the Devil. How kick ass would that be.
FFXII world would be quite cool because you have a time in the world that has both flying cities, flying ships and all semi-mid evil at the same time. You can go around and kill a bunch of small tinly little creaters and get exponentially stronger with it. Finally there is not a single ugly woman in sight and ever woman wants your body because you are big strong guy who kills monsters.
Last but not least you can live in the NWN world. You could be any of the many many races and get to interact everyday with many other races. There are also many many different jobs you can get skilled in or get skilled in any weapon or magic you could ever possibly think of. You could be a thief and pick locks or be a pickpocket all day. If you want you can spend weeks on end just treasure hunting or you go save a town, or even the world. You get stronger and stronger as time goes on, you can carry hundreds of pounds of equipment everywhere you go. If you get strong enough you can go wipe out a town and have no negative consequences. You can do anything you want anytime and learn anytihng you want. Now that is what I call a damned cool world
