Gothic one and two are really good. In the first game you are dropped into a prison colony and very soon a guard will try to extract protection money from you. In any other game the guard would just kill you, instead you will meet another guy asking you for help. He then lures you to a secluded space, reveals that he was sent by the corrupt guard, and beats you unconscious to steal your money.

Another game I will never stop recommending, because of its worldbuilding, is the excellent Enderal: Forgotten Stories. I really like how it depicts the theocratic society of the continent the story plays out in. The story about what initially seems like a standard fantasy thieves guild but is actually a cult that shuns emotion and try to transcend the physical body, is also really good and ties in with the overarching plot of the game.

Little Nightmares 1 & 2. Cosmic horror very well executed. No real lore is ever given to you besides what you are shown through your travels and what little environmental storytelling exists.

Everything is vaguely familiar but off. Distorted, but in a way that you’re never quite sure whether everything in the world is supposed to be like that, or if something happened to make it that way. In fact, it’s not even officially cosmic horror. There is no Cthulhu-esque big bad revealed to be behind it all. The visuals of the games could even just be interpreted as on -the-nose allegory and metaphor, with a fairytale like quality, if not for the subtle hints at a prior normality in the background.

Cataclysm Dark Days Ahead! I kinda love how both wacky and coherent the world is

Alan Wake. And on a grander scope almost all of Remedy’s stuff. They put everything together where it feels like there’s more out there. There’s no seam in the metaphorical stitching. It feels like even when you reach the end of something there is more.

From less of a deep standpoint? The 3DS fire emblem games. They do some really cool stuff that connects them together.

Final Fantasy XII is pretty high up there for me.

Bestiary entries are vast, almost a book in game format, and most add to lot of worldbuilding even if not needed for the main plot itself.

Also bosses, sidequests, enviromental cues seldom aren’t at least hinted by a few NPCs often dozens of hours before they’re relevant.

Overall details are often explained when you look in the right corners of the game. Even some weird weather cycles seem to have some logic applied. And in a single case, it felt inspired by a real-world element, one even Mad Max 4 used a cut in the beginning.

And I wonder if the sky-gazing kid in one of the airships that says she saw something in the sky was referring to Deathgaze or the continent from Revenant Wings…

Pillars of Eternity. I really appreciate that they must have had some Anthropology majors on the team, especially for II, because the worlds feel much more exotic than other RPGs. It shows up just how generic Medieval Fantasy most RPGs are.
The tropical Roparu (?) society with its caste system is particularly interesting. The interaction of the various factions is believable. And of course the pantheon is well though out.
The downside is that they can be clumsy about exposition of the world - especially in the first one, you get these enormous lore-dumps.

Trails in the Sky

I got sick about dystopian chaotic worlds that don’t work - where the hero’s journey is about saving the world from some impending ruin, or about preventing a starving dystopian city from being blown up.

In Trails, the conversations you have with NPCs remind you that while you’re on the trail of some bandits or suspicious people, other people are not evacuating, sheltering in fear, etc; they’re living their lives, keeping up to date on modern trends, making travel plans to other countries.

So, so many worlds just don’t have space for characters to have those thoughts. It’s always fear around impending disasters, or how to respond to a fight, or grim poetry about how much the world has fallen into darkness.

It especially hurts that some people live so much of their lives in these fictional worlds that they start to believe people would be like that when they go outside. Worlds like the one in Trails, even if they spend a lot of time being boringly polite, are a nice call back to reality.

Deus Ex, anyone?

Apart from Mass Effect, Pillars of Eternity, and Deus Ex as others have already mentioned, I’d like to also add:

Grim Dawn.

The conflicts in its Universe feels reasonable, all the factions have their history and reasons of existence, there are beneficial and selfish, but no clear black and white, and everything interacts. The Lore is very good for an ARPG that focuses on combat, loots and built.

Ace Combat. Seems rather dull on the face of it but goddamn are the geopolitics compelling.

Cyberpunk has a city that actually feels like a real city to me.

NetHack

Anything Warhammer 40k. The universe and the lore are amazing because they absorbed a lot of SciFi elements from literature. The games have often been underwhelming but when they’re good they’re really good.

Disco Elysium, such interesting and complex world building beneath the drunken detective murder mystery. Shame ZA/UM ruined everything with the devs and we probably won’t get anything else out of it.

Signalis