I like games that feel alive and real. Whether that's by having the player basically build the world from the ground up, by having a bunch of people play together on an online server, or by having a large history for the world and a lot of NPCs with their own dialogue and stories.
I like the Legend of Zelda series because they've had 35+ years to build its world, and over 10,000 years of in-game history. So the world is amazing.
But maybe that's just me.