I think they mean a world as in the sense like EQ, WoW, or FFXI, where it's all just one huge area. Where as D2 and GW you just create a small instanced area to play in by yourself or maybe a few other people, but you can't interact beyond the towns. Hence lack of a world.

I hate to say this, but if you want a GOOD MMO, you'll have to pay. There's not much good in the free department.

Although there's been many threads on this, but paying 12 bucks or so a month isn't a bad deal. So long as you can invest time into the game, it more then pays off.

As for pay to play ones, I recommend WoW or FFXI.

FFXI has much better story, better jobs (although not as diverse, more distinct in playing them I believe) and many great aspects outside of just leveling. The downsides are, most of the best features require time, paitence, persistance, and being relitively higher level. It takes quite a while to level 1-75, and money isn't the easiest to come by. Also jobs are pretty much set in stone as to how to play them and what equipment to wear, because people only want the "best" set ups.

As for WoW. I only played for about a week, but found it so terribly boring. Really you just run around solo and level up to 60. When you want some better gear you join parties and do instances. Beyond that it's a big solo game. You'll spend most of your time alone, doing quests for exp and money and gear. Then at 40 you can get a mount, in which you'll spend all your time from exp grinding to money grinding just to afford it. But if you like mindless tasks solo for your entire gaming career, then WoW is for you. As from my experiences there isn't much endgame minus instances. And even those get repetitive after a while.

Anyways hope this helps somewhat.