For me both original Fallout and later Arcanum are some of most compelling worlds - Cain, Boyarsky and Anderson are really great at creating new settings and believable, functioning worlds rich with all sorts of social, political and economic flavours..
Staying in RPG lane, but going to games that borrow their settings, King of the Dragon Pass comes to mind, but that is mostly due to Glorantha, RuneQuest's original setting, which is considered probably THE most cohesive TTRPG setting to date.
Other one would be Planesecape: Torment and its Planescape setting with city of Sigil being center of D&D's multiverse - WotC for the most part stayed away from Plancescape setting since they bought D&D from TSR (well, until recently), so they didn't have time to fuck it up as they did with Forgotten Realms and Faerûn.







