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For me that would be the Assassin Creed series.
GTA games close to a second.
RPG's balance between the first and second.
MMORPG wise only Star Wars Galaxies felt alive because I expect the players to make the game come alive in a MMORPG
And please consider to look at it from a gamers perspective because we all know games can't be or feel alive. But they sure can be immersive, just like books, movie's'.
Wierd thing is I get much more immersed when game is first person view, yet with above mentioned games the whole world just feels alive eventhough they are 3rd person perspective.