Closest I've ever been to experiencing that is when NCAA Football modeled several miles of Lexington, KY around Commonwealth Stadium. Not really the same, but until they make a videogame of Justified I'd say that's as close as I'll get.
I live in Georgia so playing The Walking Dead game has been weird. I also watch the show which regularly films near my home. It freaks me out that so much zombie stuff is happening around my area.
Oh, man I forgot about Walking Dead. I guess if they make a game featuring Rick and company it will start out in my home state at least. I think Rick was from one of the more southern areas near the Tennessee border though.