I have a few:
Terranigma (SNES, 1995)
A stunningly great little ARPG by the folks at Quintet. It manages to create a poignently beautiful playing experience through great music and environments, and features a sort of metaphysical story where you're trying to rebuild the Earth one evolutionary step at a time. Seeing the planet's development slowly unfold as you play, and the journey from the underworld to the broken surface is executed incredibly well.
Last Blade 2 (Neo Geo, 1998)
This game always sticks out to me when I think "gaming atmosphere". The Bakumatsu era is well represented with town festivals, country roads, and a riverside at sunset. SNK is known for making some pretty lavish (and lavishly pretty) backdrops for their fighters. I guess when you're stuck on the same hardware for 8+ years you learn some good ways to kind of cheat the system and push the system farther than originally thought possible. Some stages don't even have music and rely totally on ambiance and nature sounds, which only heightens the mood.
Breath of Fire: Dragon Quarter (PS2, 2003)
While you might think that a game set entirely in an underground bunker might not have much to offer on the "landscape" department, the confining, dystopian setting is both well-designed and executed, thanks in no small part to the haunting soundtrack by Hitoshi Sakimoto. The game's intentionally brisk and hurried pace is exacerbated by the ever-present percent meter at the top of the screen - a signal of impending doom and a reminder that the stakes are high and every choice matters. Though quite short and often picked apart by critics for difficulty, it still manages to create a wonderfully well-realised industrial game world.
EverQuest II (PC, 2004)
Though most people say that the game's photo-realistic graphics lack any real artistic merit (and they're sort of right), the game does one thing right many other fall short at - squalor. The game has a very dilapidated design theme (I think George Lucas used the term "Used Universe" when talking about his original SW Trilogy), particularly in areas like Freeport and the surrounding boroughs. Piles of rubbish, citizens living in closet-sized houses, tattered cloths, and cooks chasing vermin with clubs. It's a very "lived-in" quality that I haven't seen much of in other games, especially MMOs where everything is supposed to be grand and impressive. The music is also quite enchanting.