Not from a specific game, but I love it when the NPC's say different things depending on where you are in the game, or what the weathers like, that sort of thing. In fact, when what they say is actually interesting, I love when they do that.
Another thing I like is when you go through your inventory, each item has an actually INTERESTING description, or one that obviously had some thought put into it.
FFIX, FFXII and DQVIII were good at all of these.
OOOH, just remembered one, In FFVIII, one of the characters actually has a blog that you can read that gets different things added depending on where you are in the game, and also has comments from other characters. I really loved that feature. There was also an info corner with a mini bio on all the places and characters, that was nice.