In terms of choices, which seems to be what you're mostly talking about, I like the style done in The Witcher 2, where choices can have a large gameplay effect, some story effect that isn't tied to the change in gameplay [As obviously with the gameplay effect [In this case a very different second chapter], a story effect should follow as well to provide proper context, and in the case of a very different second chapter it also effected loyalties and the story that flowed throughout that chapter], but where neither is the obvious good choice. Who you owe your loyalties to and who you trust determine the right choice for you, not some obvious choice between being the good guy and the bad guy, or one choice that leads to a tangible reward and another that leads to a punishment.
In terms of actual setting, I honestly don't care so long as it is well made, polished and presented well.
I love driving around Hong Kong in Sleeping Dogs, especially in the rain. I usually hate driving, but the game got me to enjoy it just to see the beauty of the city, the amazing reflections on the road whilst it rained, and how great it looked overall on the PC. The atmosphere and the graphics were brilliant. Turning it down to low settings it doesn't hold the same magic, though it is still impressive. The sorts of cityscapes in earlier GTA games [I haven't played recent ones to comment on them] really bored me to death though.
Dragon Age Origins had a very well made theme. Yeah, it was generic fantasy - I wouldn't read any book about it, its too overdone, but the game polished it and presented it in a way that I thoroughly enjoyed it.
Skyrim would have done well with its atmosphere, had it not created so many dungeons that it had to copy paste itself 50+ times. The entire surface area, and the first few times you encounter one type of dungeon, are well presented though.
Deus Ex: Human Revolution IMO absolutely mastered its atmosphere. Whilst the mechanics left it unable to keep me for a second playthrough, the atmosphere of the game was brilliant and, IMO, to this day in my gaming experience unparalleled. The world felt alive, looked stunning and was very polished.
Some themes I'd like to see if done well?
Something white with bright, vibrant, glowing lines of colour in a futuristic city setting preferably, though not necessary. Of course juxtaposition is necessary, and if the whole scenery was this it'd get bland fast, but as a major component of something.
Something similar to an underwater coral reef in the way of plant life, but on ground, supersized [Of course small plants too, but definitely some massive ones], filled with colour with anemone like plants glowing, with colourful and interesting birds and plant life, as one section of a greater game.
I don't doubt they've both probably been done, but I personally haven't seen them, and would love to at some point.
