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I enjoy the lore and the aesthetic of Spira from Final Fantasy X, so that's probably my pick. It feels like it has a history (I guess the story of the game helps with that a lot), and I like the interactions between places and groups in it.

I also like the world of Final Fantasy XIII, again for similar reasons. There's less lore about the places and groups of that world though, so it's hard to compete with Spira. I don't know what the sequels did with the world, but I suspect it's nothing good. Regardless, I really enjoyed this one and always hoped I could learn more. Sadly the sequels to Final Fantasy XIII have never seemed worthy of my time, but maybe some day...

There's also probably a bunch of games that expose fragments of worlds in a nice way, e.g. Half-Life, but since it's just fragments, it's hard to appreciate them as whole worlds. Still, they're worth a mention. I also feel like there's a great world in The Elder Scrolls games, but Bethesda isn't doing a great job at bringing it the attention it deserves. It's always relatively small fragments in time and space that each game exposes, so it's hard to appreciate the whole and the history.