I've said it once on a similar thread before and I'll say it again. The Legend of Zelda: The Wind Waker is undoubtly my favorite game world. I mean the tropical island locals and the breathtaking art style visuals, plus fantastic soundtrack that acompanies each island just makes it one of the most enjoyable places that I've ever explored.
However if I had to say what my second favorite game local was it would probably have to be Brutal Legend because driving around in the Deuce, mowing down random creatures, and viewing the heavy metal styled world, while listening to Kickstart my Heart rocked so much.
Also, even though I'm not very far into the game yet, since I just bought it recently, exploring the Bionis in Xenoblade Chronicles is slowly starting to make me think that it is my third favorite game world. I just explored almost all of Guar Plain and it is undeniably stunning just how large of an area it is. Also, the amazing music that acompanies each location, expecially the Guar Plain, just makes you want to explore and see all the sights that there are to see.