Final Fantasy XII is pretty high up there for me.

Bestiary entries are vast, almost a book in game format, and most add to lot of worldbuilding even if not needed for the main plot itself.

Also bosses, sidequests, enviromental cues seldom aren't at least hinted by a few NPCs often dozens of hours before they're relevant.

Overall details are often explained when you look in the right corners of the game. Even some weird weather cycles seem to have some logic applied. And in a single case, it felt inspired by a real-world element, one even Mad Max 4 used a cut in the beginning.

And I wonder if the sky-gazing kid in one of the airships that says she saw something in the sky was referring to Deathgaze or the continent from Revenant Wings....

Stalker trilogy, stalker 2

Definitely Kenshi. Rather old title where the world feels somewhat desolated, but so well thought out at the same time. Every place has a story behind it

hypnospace outlaw !! it's more subtle things, of course, since it's just a sort of parallel reality to our own 1999, but i think that's what makes it feel SO real. i'm a really big fan of the news page and advice pages you can find in the game because they show you the mundanities of the everyday lives of these people

Ace Combat. Seems rather dull on the face of it but goddamn are the geopolitics compelling.

I want to answer Xenogears because of all of its story and storytelling, but the worldbuilding itself is kinda standard, if not for the scope of it. You do end up learning about pretty much everything there is to learn - the world and its history, the characters and what moves them, the politics, the conflicts, the geography, the physics, the religions, the supernatural, the origins of mankind - not to mention a full class on philosophy. And then whatever question you still have left, there's a book about it in addition to the game.

And you start with a classic amnesiac character in a small village.

Little Nightmares 1 & 2. Cosmic horror very well executed. No real lore is ever given to you besides what you are shown through your travels and what little environmental storytelling exists.

Everything is vaguely familiar but off. Distorted, but in a way that you’re never quite sure whether everything in the world is supposed to be like that, or if something happened to make it that way. In fact, it’s not even officially cosmic horror. There is no Cthulhu-esque big bad revealed to be behind it all. The visuals of the games could even just be interpreted as on -the-nose allegory and metaphor, with a fairytale like quality, if not for the subtle hints at a prior normality in the background.

Another game with interesting worldbuilding is White or Black (by ZeroCreation).

In that one, humanity nearly destroyed itself after an incredibly devastating WW3. Therefore, to avoid the constant Cycling of Empires, a band of philosophers and religious people tried to make one final civilization that lasts forever, which completed its rise to world domination in the late 21st century. Some interesting tidbits about this final civilization:

• The final civilization restricts learning and innovation to things it deems safe to consume. It considers certain works to have a destabilizing effect on people, so it only allows trusted individuals to use them to achieve the civilization's goals.
• The human species in the far future now engages with symbiosis with another species. As far as I can tell, these future humans mainly photosynthesize.
• Emotion is considered to be an outright SCP. The final civilization allows some of it, but too much can make areas uninhabitable.

The Pegasus Expedition

The worldbuilding is mostly based around the Pegasus Galaxy and how humanity wants to exploit it. The premise is this: Humanity is getting torn apart by an aggressive alien race called the Colossals, so they sent three fleets to the Pegasus Galaxy to get some resources and reinforcements. These fleets consist of the Middle East, the US, and the EU (the EU is playable); the Chinese fleets are instead holding the line by Earth.

When humanity enters the Pegasus Galaxy, they get a very frosty reception. They appear in an organization's territory who immediate try to push the humans back to their portal. The organization is instead wiped out by the humans, and the organization's bosses - resembling the Roman Empire - tells humanity to back off or the Empire will kick them out.

There's some politics stuff that happens in the Middle Eastern and US fleets later on, as well as a Flood/Thing-esque crisis that shows up. In the end, the EU gathers up all of its new friends in the Pegasus Galaxy to push through Flood/Thing turf and rescue the humans on Earth.

The gameplay is a bit dodgy but I think the worldbuilding and story are rock solid.

I don't know about favorite, but I did get lost once on the Dragon Age Wiki. Just reading and reading. There was way more lore than I realized. And I think this was before the third one even came out.

Anything Warhammer 40k. The universe and the lore are amazing because they absorbed a lot of SciFi elements from literature. The games have often been underwhelming but when they're good they're really good.

The TES series in general for its massive, expansive lore.

But Morrowind in particular has absolutely incredible world-building with incredible creativity and originality. There is a reason why so many people keep going back to the n'wah simulator and it's because the world is so rich and fleshed out. So much of the following games was built off Morrowind's stunning work.

Disco Elysium, such interesting and complex world building beneath the drunken detective murder mystery. Shame ZA/UM ruined everything with the devs and we probably won't get anything else out of it.

Fallout

Mass Effect completely blew me away when it came out. Loved the overall lore about the Reaper threat and how the different species were connected to each other.

Horizon: Zero Dawn was also great in that regard, and the world felt really well put together, even though the lore wasn't quite as deep.

Half-Life 2

Gothic one and two are really good. In the first game you are dropped into a prison colony and very soon a guard will try to extract protection money from you. In any other game the guard would just kill you, instead you will meet another guy asking you for help. He then lures you to a secluded space, reveals that he was sent by the corrupt guard, and beats you unconscious to steal your money.

Another game I will never stop recommending, because of its worldbuilding, is the excellent Enderal: Forgotten Stories. I really like how it depicts the theocratic society of the continent the story plays out in. The story about what initially seems like a standard fantasy thieves guild but is actually a cult that shuns emotion and try to transcend the physical body, is also really good and ties in with the overarching plot of the game.

Pillars of Eternity. I really appreciate that they must have had some Anthropology majors on the team, especially for II, because the worlds feel much more exotic than other RPGs. It shows up just how generic Medieval Fantasy most RPGs are.
The tropical Roparu (?) society with its caste system is particularly interesting. The interaction of the various factions is believable. And of course the pantheon is well though out.
The downside is that they can be clumsy about exposition of the world - especially in the first one, you get these enormous lore-dumps.

Hollow Knight.

Absolutely can’t get enough of the world and all the interesting characters and hidden lore.

Cyberpunk has a city that actually feels like a real city to me.

Subnautica and Raft

Deus Ex, anyone?

STALKER. The Zone is amazing. Currently replaying Call of Pripyat for my third or fourth time through, a year after playing the shit out of Heart of Chernobyl, and I’m absolutely loving it.

Dragon age

Rimworld

Outer Wilds, especially with the DLC.

Mass Effect.

Apart from Mass Effect, Pillars of Eternity, and Deus Ex as others have already mentioned, I'd like to also add:

Grim Dawn.

The conflicts in its Universe feels reasonable, all the factions have their history and reasons of existence, there are beneficial and selfish, but no clear black and white, and everything interacts. The Lore is very good for an ARPG that focuses on combat, loots and built.

Shadowrun - it had a tremendous effect on my actual worldview (as did other cyberpunk works). The near-future cyberpunk setting offers plenty of opportunity for satire, being rooted in this world makes some geography and history relatable and mixing it with fantasy elements does not only make it more colorful and varied, but also prevents unrealistic stuff from breaking my immersion, because it does not pretend to be realistic.

The Portal games, but mostly Portal 2.

Vampire: The Masquerade - Bloodlines - probably the most cliche answer possible, but Troika really did build a game that took you to the world of vampires in LA in the early 2000s.

Arcanum - a fantasy world undergoing industrialization with technology being in direct conflict with magic.

UnderRail - A society stuck underground connected by tunnels between towns/cities and nodes. The writing (quests/characters) is not that great, but the world-building is top notch.

Dave the Diver

World of Warcraft; Azeroth (the planet) lore is quite detailed and fleshed out - building upon the foundations of the original RTS trilogy.

It’s a bit of a shame a lot of it gets swept under the rug every major expansion and patch cycle, so it’s hard for new(er) players to catch up.

Fromsoft and Larian are great at this.

BioWare 20 years ago was guaranteed. We might never get another BioWare game I would purchase.