The Elder Scrolls III: Morrowind is possibly the most immersive game of all time.
Why do you need these you ask? Because this game is HUGE. It literally takes about an hour to walk one from side of the world to the next. This game has so much to do. There are factions you can join, such as Fighting Guild, Magic Guild, and Thieving Guild. Which ask you to do various missions and rank up within the guild. Then their is the main quest, which you don't even have to do.
A strategy guide is almost necessary, it supplies you with everything you need to know about your current quest, where factions are, and information on the enemies.
The game doesn't look phenomenal, but you hardly notice with the awesome gameplay. In Morrowind, you can do almost anything. You can kill shop owners and take their loot, but guards will likely kill you. After you get to a higher level, you can defeat guards, which is the best feeling i've ever had in a game.
Perhaps the only major downfall are the long load times. Almost time you load,
or start up a game again, it loads. It takes a good 1-3 minutes to load, which gets frustrating.
All in all, Morrowind is a superb game, and shouldn't be missed.