"Diaries of a Spaceport Janitor" had this for me. It also made me feel like I was getting good at just finding my way around the city. Knowing alleyway shortcuts, where different shops are, or where to find a cheap meal.

Plus each day of the week has its own different mood / street festivals / music. Lots to love in that game.

Talking to various inhabitants of the city was like 80% of the magic, for me. In fact, I usually made it a point to try to exhaust the population's dialogue options before the next "stage" of the game, which would cause their dialogue to change.

Persona 4 has a lot of this. Very strong sense of place—you feel bonded to the town and the people.

It really did establish a strong sense of place. And it was a somewhat unique place, too - a "boring" and unremarkable suburb. Many (most?) of us grew up someplace similar, but few games are set in such places because of the lack of coolness.

Also: I can't look at a retail display of TVs without thinking of that game and hearing the department store jingle!

To my eye, Fallout New Vegas, had some of the most immersive open world experience. Walking alone through the streats, or even in the scrub lands late in the night, it almost feels if you are really there.

Sometimes, rarely, you can get a similar vibe from Witcher 3 as well, but that game is a chore to play.

I have still never gotten Fallout NV to run without crashing catastrophically less than 2 hours in. I've tried different machines (laptop vs. custom desktop) and several mods to fix this, but when I realized I had sunk 4 hours into it already and it was looking like an all day project I walked away and haven't come back since.

It's one of my bigger gaming disappointments, honestly, especially after constantly reading how much everyone loves it years later. I keep hoping for a remaster or something so I can run it without buying new hardware which may or may not work and/or tinkering for hours.

This doesn't help you but the PS3 version was a pretty great game - I don't remember it crashing constantly. I was sad that it would/could? not get the mod support the PC version got that I kept reading about online, but apparently that was a tradeoff.

Kingdom Come: Deliverance made me feel this way. The Steam rating does it no justice, it’s a 9/10 game.

One of the few games where I actually enjoyed "working" within a game to gain money. I was so surprised by the game.

It really was an unexpected and eye-opening experience that didn't really get replicated besides maybe by GTA.

I hate the story with a passion, but Red Dead Redemption 2 has a great rural world to run around in. Talking to people does get pretty repetitive after a while.