For MMOs, for me the favorite was City of Heroes, by a long shot. (Nostalgic ramble incoming.)
Now, don't get me wrong, the game was by no means perfect; it had randomly generated levels with recycled assets out the wazoo, graphics were obviously quite dated, etc. But what they DID with what they had made the game perfect for anyone who just needs some narrative context, and their own imagination, to forge their character's adventure.
There was a sense of progression that (for me, at least) felt far better than any MMO; you began your heroic career as this weak little guy with two attacks, relegated to fighting some drug dealers with guns and knives in an otherwise normal looking 'burb. Eventually, you expanded a little; first to a seemingly benign park region that was soooorta stuffed to the gills with a mystic cult, and then to a region that had been torn apart by some form of disaster, leaving chasms and cliffs scattered throughout what had once been an inhabited area, but was now largely inhabited by a green-skinned gang who were taking, for lack of a better term, super-steroids. You didn't even have a travel power until level 10 or so, (been quite awhile,) and so got around essentially like a mountless WoW character would, making the last location I mentioned INCREDIBLY tricky to navigate, especially given it was littered with higher-level mobs. I remember that, if you were in a group, you always tried to get a player who had the earlier-earned 'Summon Friend' teleport ability, which as you might guess let them summon a teammate to their location, one at a time. Whoever had the ability became the scout, braving dangerous mobs to reach the distant mission door while the rest of the team largely sat around eating cookies, until the scout finally arrived and was able to summon all the teammates to the mission start point.
Off topic. Anyway, from there, as you grew more powerful and gained new abilities (including unlocking a travel ability, though you could have more than one,) you would continue to expand into increasingly bizarre and fantastical things. The homeless in the sewers, genetically enhanced by an alien race and sent to do their bidding, the inevitable appearance of the aliens themselves, megacorporations with private soldiers and brainwashed superhumans, honest-to-god Frankenstein monsters and the sick surgeons who sewed them together, Supersolider neo-Nazis, an elemental race full of golems and other creatures. Crazy mystic cultists, SEVERAL flavors of gang, and plenty more, even a late-game Dark Mirror universe where all the NPC heroes in the canon are in fact dictators and villains, ala Justice Lords. I'm not even counting several different types of giant monster (like, size of a city block, it felt like in some cases) that would require the combined forces of dozens of heroes to take down, necessitating public and unofficial collaboration. In any case, towards the peak of my character's progression, I ended up in a parallel dimension, composed entirely of floating islands with rivers of blood, fighting horrid creatures aplenty with such kickassery I was a kick-throwing martial arts master with darkness powers who could @*##&$ TURN INTO A WINGED DEMON! >.< *coughwithacostumequickchangemacrocough*
The important thing here, though, is becoming a badass hero felt EARNED. I played DC Universe Online, reached level cap in THREE DAYS, which culminated in saving Superman from Lex Luthor. Whoop-de-freakin-do, because I swear my progression from newbie to savior felt faster than Neo's. With City of Heroes, when the story said 'Wow, you're one of the big boys now, looks like,' I was able to look back on the countless missions and storylines I had taken part in, and think 'YEAH. Yeah I am!' As someone who enjoys slapping a head-canon story on characters he creates, City of Heroes kept me engaged in new story arcs and areas so long, my character went through multiple changes, and ultimately ended up a completely different person than when he'd started out.
That and the community was SO nice, my God, I have never, in any online circumstance, had such a pleasant time, with few if any actual problems with anybody. I normally inch away from multiplayer nowadays, but I was quite a social butterfly on CoH because I felt genuinely comfortable bumping into new people. Missions with large groups were far MORE difficult because the mission areas scale depending on players, and with eight players you'd often end up with mobs so big they melded with other mobs to become UBER mobs, so one bad foe-summon teleport could bring forty baddies down on your head, leaving heroes dropping like flies as the strike team fled for the elevators. But we'd always bounce back, form a new plan, and ultimately strike down our foes with fire, fists, ice, lightning, SO MUCH COOLNESS. >.<
And I'm still leaving out City of Villains, building bases to house your Supergroup, holiday events, an absurd level of character and costume customization including bold choices like making you wait til you reach a certain level to EARN the right to wear a cape, making you feel so awesome when you finally could, and... just...
...Goddamnit I miss that game.