Any answer other than Borderlands 2 is a lie. Just Cause 2 should be on that list. As should Far Cry 3. If FC3's world was a bit more varied that would be, hands f****** down, the most beautiful and complex game world ever created. The cave systems, alone, are mind blowing.
11 years ago I would have said Elder Scrolls but they dropped the ball with Oblivion and Skyrim. Absolutely empty compared to 3. And they f***** up the scaling in Oblivion...which is still worthy of a facepalm. I mean, you make the exact same area just a few years prior, on inferior hardware, and then decide to shrink everything down to baby-size when you remake it? Da fuq?
Disgaea 4, Vanquish, Sound Shapes, The Cave, Need For Speed: MW 2012, DmC: Devil May Cry, Monster Hunter FU PSN: DocDelicious
To be honest I like Red Dead Redemption's world the best (especially considering you can zombify it).
I would say Oblivion but it's a bit too bland and repetitive for my liking. RDR is an ideal size, it's beautiful, it's full of small easter eggs and random encounters, and it's just great fun to be in.