Pretty much the entirety of the Half-Life, Portal, and Left 4 Dead series. Valve just relishes (and excels at) cramming in as many tiny details as they can into their map and level designs; virtually littering them with hidden nuggets of world building. You could write an entire dissertation chronically the stories and side-narratives they've told through these little hidden instances.[footnote]I know that sounds incredibly hyperbolic but you'd be amazed at how many of these little stories there really are in those series.[/footnote]
Another game that always surprises or pleases me with it's attention to the finer details is Torchlight 2. Every time I do another play-through of the campaign I see some little detail in the game world that I never would have expected. Whether it be a random/procedural event, a minute yet incredibly refined character animation, a bit of world design or art, an item description, a side quest, or an easter egg, the game almost never fails to bring a smile to my face.