I've been trying to get 100% completion in Red Dead Redemption, and man, that game's rendition of the Old West is damn cool. I really love exploring it, and I think it's my favorite open world environment. I love rugged wilderness and mountain men and stuff like that, so it's right up my alley. And despite being an action game, the wild setting and presence of wild animals gives it an absorbing, explorative RPG feel.

Skyrim and Liberty City from GTA IV are tied for a close second.

I love open world games overall.