Folklore. Absolutely dripping with atmosphere.
The Myst series has some superb environments too. And, of course, Termina from Majora's Mask. <3 Clock Town. I've said it a lot before, but it really was the first time that I felt like I wanted to save the world because I felt I had a personal stake in it, rather than just because it was the point of the game.
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"I'm Commander Shepard, and you're standing in the biggest library in Citadel Space. Look me up."