You could give the three Stalker games a try - while there's a linear plotline to them which is quite restrictive in some places, for most of the time you're free to wander round fairly large play areas (though we're talking Oblivion / Fallout style "square kilometres" rather than Daggerfall style "small countries") which all have interesting things tucked away. Call of Pripyat is the best (the latest, most polished and relatively stable version.)
And heck, you can chuck bolts into freaky anomalies, what's not to love?
Also I'd second New Vegas. If you're in the mood for something different Silent Storm (somewhat nonlinear plotline, odd random encounters) or Dwarf Fortress (ASCII graphics, generates entire worlds to explore and/or build in.)
And also LOTRO, which has a large world and is (I believe, haven't checked) free these days; but has most of the usual boring MMO timesink baggage.
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