Games from the old days there tonnes of them... partly because I was young and partly because gaming worlds were new and the simple graphics meant a lot of imagination was required. SMB, Metroid, Rygar, FF and especially the Legend of Zelda and Zelda II.
After those, some great escapism came from FFIV and VI, Secret of Mana and Castlevania IV. Ocarina of Time is one of the best ever examples of a magical world, and FFX was certainly a game I was lost in. KOTOR was like being transported to a galaxy far, far away, and Mass Effect did a decent job of capturing that feeling again. Halo felt like another world fairly well for an action game, and Super Mario Galaxy did a good job for a platformer. More recently World of Warcraft was like falling through the rabbit hole and finally Xenoblade was truly magical.
