Norrath (EverQuest). The sense of achievement you got from reaching the max level was great (and the server-wide announcement was a nice touch). Nothing was handed to you, you had to earn it. This world was not built to accommodate or baby you, so when you accomplished something you felt great. And you respected the world because it was unforgiving.
But apart from that, I loved the setting and lore. especially the second expansion, Kunark. The dungeons were dangerous and full of traps, and the overworld had crumbling statues and towers that hinted at the powerful beings that inhabited the areas before you. And the world was vast. I mean really vast. Leveling was slow, and you'd stay a long time in a particular zone before outleveling it, so you got to know all the hills, buildings, mobs and players.
The East Commonlands tunnel, North Freeport bank, the bridges of the Karana's, Halas lake, Chardok, Sebilis, Karnors Castle, Sol B, fishing in Lake Rathe with friends, duelling in the Arena, camping the Ancient Cyclops, helping friends get their Epic's. All these and more are indelibly imprinted in my mind. There isn't enough hours in the day to recount the memories I have from that game. Norrath was the best designed world I've played in, but it wouldn't have been quite as good without the people I explored it with. They're what made it memorable.