It depends on the game of course, (obviously it's not really going to make much of a difference to, say, Tetris), but for most RPG's, Action and platformer games, it's a definite yes from me. One of the things I love most about videogames are their ability to take me to a new world and let me explore it. Endless corridors in shooters and games that don't let you stop to enjoy the scenery really aren't my cup of tea.
Final Fantasy XIII's worlds, especially Pulse, really didn't offer much in the way of exploration and general world design; sure, there were "distinctive environments", but there was no opportunity to stop and look in all the little nooks and crannies around the various locales the way I like to, instead encouraging you to just push incessantly further onward.