ZeyerGTR

I can only speak for Morrowind, because that's the only one I've put any time into, but what's so great is giving you that feeling of being in a world. I remember walking down a path going from one city to another, and I thought "I wonder what's over that hill?" I walked over the hill and saw a little cave. I went in, and there were some zombie-looking guys standing around an altar doing something... unpleasant. I killed them and got a really good battle hammer. I had no idea the cave was there, it wasn't part of the plot, it wasn't on a map. Another time I was walking around and saw something in the water. I dove in, swam down, and found a sunken ship with treasure in it. The game is filled with stuff like that. That sense of being able to explore and find cool, unexpected stuff is just great.

The writing in Morrowind is also pretty cool - there are tons of books and letters you can pick up that give you a good sense of the history of the world. It's fairly well fleshed out.

I also liked that you can really tailor your character to how you want to play - the character creation system is unique and fun, and your skills improve based on how much you use them.

It's the only game I can think of that I enjoyed soooo much without ever actually finishing it. I spent so much time wandering around doing neat things I kind of abandoned the main quest, although at some point maybe I'll pick it up again and finish.