To my eye, Fallout New Vegas, had some of the most immersive open world experience. Walking alone through the streats, or even in the scrub lands late in the night, it almost feels if you are really there.
Sometimes, rarely, you can get a similar vibe from Witcher 3 as well, but that game is a chore to play.
I have still never gotten Fallout NV to run without crashing catastrophically less than 2 hours in. I've tried different machines (laptop vs. custom desktop) and several mods to fix this, but when I realized I had sunk 4 hours into it already and it was looking like an all day project I walked away and haven't come back since.
It's one of my bigger gaming disappointments, honestly, especially after constantly reading how much everyone loves it years later. I keep hoping for a remaster or something so I can run it without buying new hardware which may or may not work and/or tinkering for hours.
This doesn't help you but the PS3 version was a pretty great game - I don't remember it crashing constantly. I was sad that it would/could? not get the mod support the PC version got that I kept reading about online, but apparently that was a tradeoff.
Sometimes, rarely, you can get a similar vibe from Witcher 3 as well, but that game is a chore to play.