Witcher 3. They very well combined open world with story telling, with tons of side quests, many of which affect the story. The characters aren't one dimensional. For example Bloody Barron is a low life, but also draws sympathy as he pays for his sins from the past. The world is also unforgiving, many times you have to make a decision between shitty option and even shit tier option. The graphics and characters are also very detailed. All of that creates a great atmosphere.

If you haven't played it, you should give it a try.