- Pillars of Eternity: I haven't played very many games that take place in a sort of pre-industrial/early industrial world state. It's also a bit refreshing to see a fantasy setting where the politics and the overall lore are largely driven by nationalism rather than racism (since the latter doesn't exactly have a place in a setting where everyone knows reincarnation is a thing). Not to mention all the stuff revolving around the gods is a hell of a twist, and it's one of the reasons I'm really looking forward to Avowed as a game taking place in the same world, especially if it turns out that it indeed does take place in the Living Lands.
- FFXIV and the Ivalice games: I'm sure I don't really have to explain this.
- Trails series: I'm sure I don't really have to explain this either, even if I bounced off hard after Cold Steel 1.
- Pathfinder series: While the series isn't largely focused on world building, the companions do a pretty good job at introducing other parts of the setting to you in a seemingly rather natural way, mostly through party banter. The first game had much more varied companions owing to the plot revolving around your player character trying to set up a new barony in an untamed wilderness with a bunch of misfits tagging along or arriving later, while the second game consisted of a completely different player character and party going on a crusade against demons, taking place in the same world a couple regions up to the north and a few months after the first game ended. Though the companions in the second game didn't exactly come from all over the world like the first game's companions, I consider the second game to be the current gold standard in terms of party banter/interactions.
- Dragon Age: The setting is rather compelling, even if the actual presentation of it in the first game wasn't that fleshed out. I've been replaying the second game lately, and while that game had a lot of faults, the writing and world building it does is by far the best in the entire series thus far, especially due to the game's unique story structure taking place over a span of 7 years. DA2's amazing execution of it is why I'm super stoked at the idea of FFXVI trying something similar over a span of about 20 years instead.
I really have to get around to playing Disco Elysium one of these days.