FAVORITE VIDEOGAME WORLD.

Ivalice from Final Fantasy Tactics. Probably one my favorites. I really hated Squaresoft (or Squareenix?) what they did out of Ivalce with Final Fantasy Tactics Advance. D:

Also, Disgaea 1. Fucking win. <3

And Azeroth from the Warcraft Universe. Yeah, those three are probably my favorite worlds in games.

Super Mario WORLD.

Baten Kaitos.

The Rockstar world... It's such a lush beautiful parody of the real world that you can't help but laugh. Whether it's Crook Life, gang life, cowboys, highschool, running man, or detective; the Rockstar world has become a big, expanded planet. I'm looking forward to the day they tap into foreign locations (London excluded) like Egypt or China or even Hawaii if it needed to stay in America.

edit:
I'd like to note that 90% or more are RPG or Zelda answers. This is kinda sad guys, there are tons of game worlds outside of RPGland..

The atmosphere of the Pokemon games has inspired more creativity in me than any twelve Final Fantasies. I also enjoyed the worlds of Final Fantasy IX, Dragon Quest VIII, and Golden Sun. Dragon Quest VIII in particular stands out. The whole game so far seemed like it was done with a great deal of care and finished with a fine-tipped brush. The cel-shaded style is and always has been one of my favourite design choices.

Bringing back Azure Dreams...I really always wondered what was beyond Monsbaiya. The whole world the game existed in seemed ripe for exploring. It's a shame that game never received a sequel.

Another series that deserves a sequel (at least a good one) is Lunar. That world was always my favorite when I was a kid. Just something about how beautiful the visuals were in that game stuck with me.

Other worlds I like:
Final Fantasy VI/VIII/IX
The Chrono world as a whole (Trigger, Cross, Dreamers)
Morrowind
Fallout (except the Capital Wasteland in 3 is pretty boring)
.hack (I guess there's nothing very interesting actually in the playable world of the game, but I feel like the whole idea behind the world .hack exists in and everything about it is super interesting. I don't know if that even made sense.)

There have been some really good ones mentioned. I'm partial to Shadow Hearts 1&2, Arcanum, FF8, and especially Morrowind too, but my favorite would have to be the bleak near future of Deus Ex. Sure, it looks a lot like (for the most part) today, but there was so much interactivity that it made the world feel all the more real.

Sneaking through Versalife in complete heist movie/vent rat mode was excellent. Being able to stack up crates to make my own ingress/egress points during missions? Nice. Don't even get me started on breaking into the under-water base.

I remember playing the extended demo the first time, where you got to do the section after the liberty island mission. Discovering back ways through buildings and warehouses was nice and all, but it paled next to stumbling into a complex secret facility in the sewers.

I also like that despite having a couple gig worth of save files from the game at one point, the last time I played it I still managed to find something I'd somehow managed to miss on previous runs.

GTA, Morrowind or Oblivion.

I know a lot more worlds in games are more advanced/have a more developed history etc. but I always found the world of FFVII to be one of my favourite. I think it was mostly due to the freedom your given to roam around everywhere towards the end of the game once you've got the highwind/gold chocobo which at the time of playing (for me it was my first RPG) was quite advanced for a game. The freedom impressed me, especially at that young age (I was like... 10 or something :P).

author=calunio
As for me, come to mind Shadowrunand Paladin's Quest. Neither are great games, but the settings are very interesting and immersive (for different reasons).

word up.