Maybe not the best, but the most recent example for me is the Afterlife bar in Mass Effect 2. From the bright "neon" signs stretching into the sky out the front, to the sparsely lit, seedy interior it was really, really believable.
still have to find a PAL copy local to meCK76 said:Gamecube title called Eternal Darkness. I flat out loved that game, it really immerses you with subtle insanity changes, the statue looks at you, the walls bleed, the rooms flip upside down and then suddenly you're randomly exploding or the game tells game data corrupted. It was fantastic design and the various protagonist made it feel epic and easily made up for any gameplay issue for me.
"Deep into that darkness peering, long I stood there...wondering...fearing...doubting..."