I really love Jack Vance’s world building. His Gaean Reach setting gives an endless variety of cultures, customs and beliefs. And the Dying Earth novels formed the basis for magic system of DnD.
But the real treasure is in how he can let these worlds come alive with his descriptions. Often he would spend a whole paragraph describing something that will never be part of the story but manages to perfectly set the tone of the local atmosphere.
I grew with these books (thanks to my dad’s impressive personal SF library) and they’ve always managed to spark my imagination like no other book.
Just a breathtaking setting that begins with the first hundred settlers and traces the intrigue, terraforming, conflicts, and dreams of the colonists. It's a sweeping epic written on a human scale.
The Elder Scrolls is probably the one I've had the most fun theory-crafting about, but I will admit that you have to pick and choose what to care about.
Also the old Wipeout racing games had a remarkable amount of background plot going on that was really pretty fun. The self-awareness to poke fun at Fusion's poorly-received changes as being the in-universe result of megacorp meddling for mass market appeal gave me a good laugh, but you can piece together a surprising amount of the world from random references in team flavour text
Right now I'm way down a Brandon Sanderson rabbit hole, so I guess the Cosmere? I'd say Stormlight Archive, but Mistborn is really cool because they're set at the inflection points in the planet's history. The first arc is excellent, and it changes the world. The second arc is set in the future, with mythologies based on the first arc and scientific progress based on secrets uncovered in the first. The changes in the use of magic are really cool. There's a third arc planned to be set in the future from there.
But the Cosmere as a whole shares some core concepts and characters can move across it, and that comes into other standalone works like (3 of 4) secret projects and a bunch of other stuff.