Detail in the world. When a game has an expanded history (reference to historical or local lore that doesn't have to do with the main game) or a well thought cohesive world that seems to be alive. Like FFXII, Xenogears, and SOIII.

Open ended approaches to problems. To elaborate, when you reach a puzzle (this is extremely rare by the way) or in a battle (much more common) when you have several options or completely different strategies to beating a boss. This is why I like fighting games and the Metal Gear series so much. Also nuking an enemy with different high level magic doesn't count... so most rpg's never do it really well...