Azeroth is goated.

Hah. Upon entering the thread, I was greeted by my favourite game world. I'm not sure why, much of it is dark and grimes and seems like a harsh place to be but there is just something about The Witcher 3s world that hits in the vibes, I can't explain it... well I can but it would be an extremely long rambling post and probably one that I've posted multiple times before. Skelige and Toussaint in particular but the music really helps, I can't imagine being a Witcher in that world with a pair of Earphones for the background music. 

After 20 years and so many added features nothing can come close to WoW and its continents.
Other that I'd say Xenoblade Chronicles 2 world and Final Fantasy 7 world

Chrono Cross for obvious reasons

Pokémon's world is the best and it's not even a contest. But my second favorite world is Eorzea from Final Fantasy XIV. I would gladly live in there. After the Calamity, of course.

Final Fantasy IX

It's got pirate airships and Vivi, 'nuff said.

Yeah idk how Azeroth isn't the greatest lol. It was already the greatest to me in Warcraft 3, but WoW built so much on top of it for years.

Pokémon Red/Blue, such an epic long game, especially for the Gameboy. Visiting all the different towns and interacting with everyone was brilliant. I wish the Pokémon games today were styled more like the older ones, they had more soul and character to them, the 3d versions are not appealing to me at all.

Termina from Majora's Mask was incredible at its time and is still incredible as of today, not in terms of scope/dimensions but in how full of life it is: every single character has it's own routines for each hour of each of the 3 in game days, and these routines are related to profound stories and even vary depending on your actions. It felt (and feels) like a world with its own life regardless you're there or not, something that almost no game has replied as of today (in most games NPCs just stand there or go from here to there waiting to tell you their lines, but they don't have such specific routines, and definitely not tied to meaningfull stories nither to 3 different days).

Breath of the Wilds' Hyrule tried something similar but, yeah, it was just people waking up, going to till their lands, or to school in case of children, and not much more, they did not have deep stories related to their routines as in Majora's Mask. Despite of it, Hyrule in Breath of the Wild is one of the most, if not the most, interesting and fun worlds interms of exploration and gameplay posibilities. It even has a good lore; maybe not as deep as other "hard" RPGs, but still deep and interesting.

Isle Defino from Super Mario Sunshine. I think Nintendo did a great job making the place feel like a bright, vibrant holiday destination. I also like how interconnected everything feels, such as the way you can sometimes see other levels in the background of the one you're currently playing.