There are just so many. Star Wars, 40K, Tolkien's Middle Earth, Stephen King's Midworld and Iain M. Banks's Culture are all very high on the list for me.
For universes created specifically for a game, I think it's either Final Fantasy VII or Half-Life. FFVII has so many wonderful and evocative locations like Midgar, Gold Saucer, all those mountains around Nibelheim, I just love it. And Half-Life, well Half-Life 2 when the universe came of age, is a brilliant modern take on classic dystopian sci-fi worlds from writers like HG Wells and George Orwell.