The most compelling and realized ones are those that feel like life goes on in them constantly. The people there go about their daily lives and talk to each other and whatnot.
There's a feeling that life goes on even when I'm not around, or at least the illusion of it. Even random things can happen in them.

IMO the Witcher world. We all know it from the Witcher saga, but that's just a tiny slit in space and time of this vast world, which I find strangely fascinating. You have everything you would ever want from a fantasy universe in it. Multidimensional (figuratively and literally) realm, with great history, ranging from an astounding beauty to spine-chilling creepiness. Most importantly, it feels real.

Kenshi - world that exists, faction fight, build towns, destroy others or get destroyed. You start as nobody, and nothing guarantees you won't die around the next hill.

It is acquired taste - such games work best as TTRPGs at the table or as MMOs, where you play with friends for a long time, and story emerges from your actions with the world, but can be a drag when played solo.

That said, there are games that are coming in the future that will utilize this approach of systemic social/economical/weather/wildlife simulation, but introduce narrative tensions, AKA "fronts", that develop on their own (or in interaction between several fronts) and that move toward some goals in the future. To paraphrase what one wise man said, "story is something that happens if players don't interact with your world and don't change anything, not the other way around".

Some others that really stuck with me:

Columbia - Bioshock Infinite

Visually captivating, mechanically engaging thanks to the skyhook, and like Rapture a rich microcosm of ideology gone wrong

Metro series

Truly captures the feeling of a post-apocalyptic world better than any other games I've played

Ff7

Liked so many posts in this thread.... No idea where to even start. Azeroth is insane, Norrath is incredible, Cyberpunk is also amazing.

If I had to choose one probably Cyberpunk, I just love the vibe so much. But I grew up on WoW, and EQ introduced me to the world of dungeons and dragons, clerics, shamans, rogues, etc.

Its really hard to pick just one.