I almost said Minecraft for the reasons you mentioned. Heavily modded Skyrim is also one I was considering. Also Witcher 3, and Red Dead Redemption 2. (I think RDR2 would probably eventually win if it ran better on my system, in terms of both keeping the settings right and loading times [once in, it runs just fine].)
But upon giving it some more thought in terms of just the game world itself, it turns out my "favorite" game world is not from my favorite game, or even my top ten favorites. Rather, it's from a game I had hoped would be my favorite game but fell short, and that's...
Fallout 4. Yeah, I'm surprised too.
The world feels excellently realized to me, and I enjoyed uncovering all the little details throughout. And while it sometimes felt like there were one too many Super Mutants running around for my liking (note to designers: sometimes less is more), I genuinely enjoyed the exploration, and even fixing up some of the settlements, which was more enjoyable when it wasn't a necessity. It's also why I'm sometimes tempted to give Fallout 76 a chance, despite knowing I probably wouldn't care for its MMO elements.
I loved the Fallout 1/2/3/NV settings, and their quirky bleakness, and 4 still had a lot of that. And though as a game in general its plotpoints left me flat and eventually disinterested in finding my son (though spoilers had a slight role in that), every positive memory I have of the game stems from exploration and just "living" in that post-apocalyptic world.
ETA: I'm really hoping Cyberpunk 2077 will have that same level of joy of discovery, and that the plot will allow me enough breathing room to explore and make those discoveries.