I found the overworld map in Act One of Kentucky Route Zero incredibly evocative. It gave me the feeling of driving through the middle of nowhere in the dead of night, glimpsing abandoned buildings or weird looking trees in the headlights, and trying to think up what that dilapidated factory manufactured, or why that tree was bent in a U shape. KRZ takes these personal folktales I think up and makes them real, with landmarks like the artificial limb factory or the tree that's always on fire. The soundscape contributes a lot as well, with the radio stations that broadcast the bizarre, incoherent noise and the tire hum whenever you move through the road.
One of my favorite things about Burnout Paradise is the fact that the races in it are completely open ended in that there aren't any prescribed routes for you to follow. Sure you can follow the other cars, but if you think you can make it to the wind farm faster if you go a bit out of your way to take the train tracks, you can. Those alternate routes didn't always work, but when they did it made me feel like a genius. I hope that this mechanic isn't totally forgotten, since there have been relatively few open-world racing games since Burnout Paradise, but the recent crop of Need For Speed games haven't given me much hope.
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