Hmm, lots of games….
World of Warcraft - No contest. The sheer variety of all-encompassing atmospheres is off the charts. Almost every area was like stepping into a movie-set with major passion behind it. Areas like Duskwood, Azshara, and Ashenvale will forever be part of my gaming memories.
Age of Conan - Especially the Cimmerian areas. The music didn't hurt, either.
Oblivion is one of the most immersive games in that way, certainly. The implementation of forests in that game was breathtaking.
Gothic 3 all but equals it, though in a slightly more "gritty" way.
The Witcher 2 in the Swamp area is possibly the most beautiful area in any game, ever.
Crysis - The entire game, pretty much. The best moment is probably right at the beginning when you first approach the little collection of huts and buildings at dawn.
System Shock - The first time I entered the Hangar on level 5 - I was sold