I like a lot of the ones mentioned here, so I'll give a shout out to the world of Enroth, which hasn't been mentioned.
It's got cool politics via the succession war between Roland and Archibald, and lots of faction interplay. A lot of it is to give story underpinnings to the strategy series Heroes of Might and Magic, where you play as one of the many factions, but I've always appreciated that there's story that goes with the fighting.
On the surface it all seems like stock-standard fantasy tropes, but when you dive deep enough into the RPG side of the franchise, you find out that nothing in the world is what it seems to be. The "demons" are an invading, conquering alien species with a highly developed technology. The "angels" are artificial intelligences built to serve the mysterious "Ancients", who sent out colony ships to populate the galaxy and work to protect the colonies from "demon" invasion. Many of these worlds fell to "barbarism", i.e. swords and magic over technology, after apocalyptic events.
You start out in a D&D fantasy with sorcerers, knights, clerics, elves, dwarves, and goblins, and wind up in a science fiction with spaceships, stargate networks, and lasers.
The original company that produced the Might and Magic franchise went bankrupt, and rights wound up with Ubisoft, which re-worked the franchise in a new setting called Ashan. Many if not most of the fans of the original hated it, but I find that it has some compelling and interesting world-building. In Might and Magic Heroes 6, we begin by playing Duke Slava, who has five children. His sister Sveltana is a necromancer, but necromancy has a very interesting implementation in this world where it is not seen as inherently evil.
Slava's daughter Anastasia is temporarily possessed by an evil force and kills him. His son Anton takes the throne, and despite the fact that Anastasia was not in control of her actions, and with the same evil that possessed his sister whispering in his ears, he has her executed for the murder. Anastasia's aunt Sveltana resurrects her as an undead free-willed necromancer, teaches her about necromancy, and together they raise an undead army to challenge Anton's forces, who are under the command of corrupt church leaders. The other three children of Duke Slava scatter to other nations, becoming allied with the barbarians, the naga, and the "demons", respectively. (Remember, nothing is ever what it seems on the surface in these settings.) These five children of Duke Slava become the leaders of the five factions that fight during the campaigns of the game.
Ashan also comes with a lot of interesting lore where the deities of the setting are dragon gods, who are archons of different aspects of existence like Life, Light, and Death. As mentioned, it also comes with what I find to be a unique interpretation of necromancy.
So, what engages me in world-building in a game? Nation-building, culture-building, lore, and politics are certainly important elements to me. I'm also a sucker for gods and cleverly written fantasy religion. I also like there to be layers of meaning, where the game reveals over time that what you thought was going on in the world at the beginning of the game is not really what is going on, i.e. it subverts your expectations in some way.
