Really tough choice, and depends on the definition of Open World
Mafia 1 is the most immersive game i know of, and it has an open world, but the open world is not the source of the immersion
Morrowind had a very strong sense of culture and had an abundance of really interesting locations with interesting characters
Fallout: New Vegas seems to have an infinite number of places to explore and interesting people to talk to, it might take the cake in terms of sheer detail
Stalker has a brilliant atmosphere, and simply wandering around is incredibly compelling. Call of Pripyat counts especially since the entire game is divided into three huge levels instead of the many smaller ones like previous stalker games.
don't think I could choose from the above games. They are all incredibly immersive and the worlds well realized.
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