For RPG games, I like...
Fallout 1 and 2
Arcanum - of Steamworks and Magick Obscura
Planescape Torment
Baldur's Gate 1 and 2
...the best
Though my favourite setting is Birthright / Anuire. All because of a little gem of a game that came out in 1996, called 'Birthright: The Gorgon's Alliance'. I still play and mod that game today. It combined a Total War like gameworld and map, including diplomacy, magic, economy and armies with an adventure mode where your regents and lieutenants could actually quest in a 3d environment, finding treasure, experience and artifacts that would impact the overhead world. It was a total failure as a game as it sold terribly, and promised expansions were never released. Thankfully people managed to mod the game to an extend that you could get more out of it, including the unlocking of realms that you couldn't play as before.