Gonna have to agree with people on Halo: Combat Evolved. The way you had things inside forerunner structures fading off into the distance... my mind was blown every time. Halo 2 was really impressive as well in a few areas, particularly when you realize that you are walking on the surface of a giant gun in space.
Generally, I find non-natural structures to convey a sense of scale a lot more than natural ones. If I'm in a big cave--well, that's nice. I'm in a big cave. If I'm in a canyon-sized factory, though? HOLY SHIT. MIND BLOWN.
Then there's Vanquish. Now, I personally think Vanquish is a bit shit; it's not a very good shooter at all (in fact, the only people I know who think Vanquish is great are people who have a tendency to dislike shooters--usually because they play them wrong, but that's a topic for another day). It is, however, quite amazing at scale when it wants to be. Climbing into that giant thing that one time was really impressive, for instance, and the monorail segment did a fantastic job of letting you feel like you were in a genuinely huge space. I actually think the hugeness of the game did a lot to offset its more negative qualities.
Dead Space, the series, has had some areas that feel really huge--particularly in the opening levels of Extraction.
If we're going to talk about games with areas that feel absolutely huge, then it's got to be either Alan Wake, Halo 3, or Halo: Reach. Each one of these games has an absolutely insane draw distance, with geometry that stretches for miles, IIRC, and there are very few games that do that. Only other game I can think of with such batshit insane draw distances are Bethesda's games and sims like ARMA.
There are a lot of games like Rage or The Witcher 2 that feel big at first until you realize that everything in the distance is just 2D, which is kinda depressing, since they're some of the best-looking games ever, and having visual cohesiveness extending off into the distance would be wonderful.
