The Just Cause 2 world is magnificent, it's just amazing to travel around, be it in a car, or a plane or just walking through some mountains.
Metro 2033 was beautiful in a different sort of way. It was just the atmosphere that did it for me, I loved playing through that game.
Far Cry 2 also has a very beautiful game world similar to Just Cause 2, in that I just love to travel around it, and the scenery in general is just brilliant.
In Oblivion, there my favourite place in the game is a certain spot on The Orange Road, next to a fence where you have a view of the Imperial City and the surrounding area. The first time I saw it was when I first got Oblivion in 2006, and it was one of the first time I saw a view of an open world, so the image sort of stuck in my mind from then on.