#4 Guild Wars
The second Guild Wars may be well on its way, but the first game—and its expansions—offered some of the vastest locations to ever grace an online game. Though much of the game was instanced for the sake of gameplay, the lands in which Guild Wars took place were certainly interconnected.
Players started off on the continent of Tyria, which was blasted to hell and back by an event called the "Searing". That you got to experience this as it happened was one of the coolest things as it gave you the impression that the world did, for a fact, change.
Together with other players, you progressed through the story by traversing the world—which consisted of seared lands, snow-capped mountains, tropical jungles, and finally, a place that could very much be described as the edge of the world. The game was made even larger with the Factions expansion, which added Asian-themed land of Cantha; and Nightfall, which contained the continent of Elona, a land heavily based on North Africa.