I have this thing where I innately dislike fantasy worlds where it is obvious that the setting is on a planet, and from which stem many of the problems I have with fantasy setting in general. I know that sounds weird, bear with me.
Since I was a child, whenever I'd (role)play a fantasy game, with toys etc, none of the characters in my game were aware that the world is a planet - because fantasy games tend to be medieval-themed (or are often inspired by pre-medieval times, rarely periods after that), and people back then didn't really know that the planet was a sphere (I know that the knowledge of Earth being a sphere is thousands of years old, but it wasn't exactly popular knowledge back then). Besides, people's beliefs (whether ancient heathen practices, or dogma of organized monotheistic religions) were far more prominent in the world's understanding and interpretation. Whether or not gods actually exists is of no importance - they did exist back then. So did the creation myths, the legendary heroes and beasts, the whole mythologies...
For whatever reason, a "modern" knowledge such as that of Earth being a spherical object is a sort of anachronism - not really, but I tend to view it as such and I find it jarring oftentimes.
So to go back to my original thought, I'd really love to see a game that's set in a world that is so tightly interwoven with mythical and legendary, and not just be a typical pseudo-medieval-Europe with an occasional dragon or something.
A sky is an arc that was created by the top half of the egg from which the world was birthed, the sun is pulled by god's chariots to the sky every morning, the world is a plate floating through cosmos, sitting atop a world tree etc. You can take whatever you want from any mythology and make it like that.
And I guess the focal point of that is that I need the world to be a flat earth, or whatever fits the mythology of the world. I don't know of a mythology which states that world is a sphere. There is some out there, probably, I guess, but I haven't heard of it.
Not many games have fulfilled this criteria of actually mythical, and I guess that's the setting I'd really love to explore. First Dark Souls game kinda fits this concept, which partially prompted my adoration of it.
Edit:
To ilustrate a point:
This is an illustration of Yggdrasil. For those that don't know about it (but I assume pretty much does), I encourage some reading about it.