Probably Skyrim or Fallout 3 (not NV) would be close.
Atmospheric wise ,Deus Ex, Half Life 2,
Non-mainstream recommendations: EYE: Divine Cybermancy, Prey, Chronicles of Riddick, Vampire Bloodlines
So far nothing comes close in terms of immersion comparing to COP. Especially the freaking storm - every half hour or so the sky turns blood red and you have to find shelter, else you die. It wasn't so groundbreaking till I saw other stalkers, dogs, even mutant creatures run to shelter. I was huddled in a dark basement in some random gas station with just my flashlight, hoping that whoever comes won't try to shoot or eat me(which it did happen a few times).
When I came out of the shelter, often I would see bodies of both human and mutant who was lost in the storm. That's when I know I was in an environment - not some scripted event. It's not you versus the world (Metro LL), it's you in a world full of stuff, and you don't know one bit about it. There are so very few games which can pull it off.
Also ANY game which I see NPCs fighting each other in a non-scripted manner is worth a lot. Maybe we can start looking at that for closely related games?