For me, the world is the most important part of an open world game. I'm not all that interested in running around a recreation of a modern day city, no matter how detailed it is. My favorite open world games are the ones where the area itself is a fantastic place. So here are some of my favorites and where they took place:

Final Fantasy VI - the second half of this game is basically what we call 'open world RPG' today, and it takes place in a ruined world caused by the villain. How often does the villain actually succeed in destroying the world? Man this game is so great.

Red Dead Redemption - the Wild West, where the law was just a six shooter at your side.

Assassins Creed II - Florence/Tuscany, one of the most beautiful cities in existence, and recreated at its prime.

Assassins Creed IV - the open sea in the era of pirates. Possibly overlooked but I think this is the best AC. Like, Rockstar did the Cowboy Open World Game and it was fantastic so why did it take anyone this long to do the Pirate Open World Game?

Dragon Age Inquisition - a variety of your standard fantasy type settings but they are all beautiful and there's dragons.

Shadow of Mordor - it's in Middle Earth!

Xenoblade is a great RPG (one of the greatest) but I don't think I'd call it one of my favorite open world games. I love it more for the characters, plot, and battle mechanics. The settings are great but more for the running through them on your adventure. I don't see them as 'alive' as some of the other open world games.