Final Fantasy XII -- one of my favorite games to explore in the FF series. A rich and varied world, and it was fun to just explore each new map. Now if only the treasure chest system wasn't designed by a bipolar sadist.

Suikoden V -- for RPGs with a traditional world map, I haven't played a game where the world felt as large as in SV. It did a great job showing the scope of the world, and it felt like a real adventure. And if we can go over-arching, beyond just what is in the game, then I certainly have to include the whole Suikoden series as my favorite video game world.