Have a run through final fantasy 8. It's not an 'in your face' 'look at how deep I am' kind of world, but there's plenty of character to it.
DS9 was better than B5, simply because they knew they were allowed their full run of series. BSG also did something new.

Absolutely agree with you. The setting of Morrowind is what makes it so great. It is definitely one of the most if not the most unique world in video games.

It has the best mods/modding community out there. The game was released in 2002 and yet new mods are still in the works.

Those who have played Morrowind here would agree that walking up to an ordinator in Vivec and hearing his response is the perfect example of the atmosphere that Morrowind creates.

And I sooooooo loved the two moons thing. I don't know why that captivated me so, but I swear every time I would be out at night I would look up just to see the two moons.

You're right, Morrowind does have a very immersive world. It actuall FEELS like you're on a fantasy planet.

And I STILL love the two moons thing. LOL, whenever I show family or friends that game, that's ALWAYS one of the things I show them.

This.

That game seems so cool but then I hear that after the beginning it becomes a bad hack and slash RPG.

Back to topic- Just focusing on GOG games- Arcanum has an awesome setting and is made by the some of the same people who made the first Fallout (and maybe Fallout 2 not sure.) Planescape: Torment has a very odd setting and a very cool story, probably the best in a video game. The Witchers (at least the first one does I know. I haven't really played the sequel yet. Waiting for the second one to come out this Tuesday) have an awesome setting. Haven't played it in a while but I think Beneath a Steel sky which is free here had a cool setting even though it isn't an RPG.

You be describing Planescape: Torment.

As single player games :

Try Fallout 3, i bought it couple of years ago at a low price as i was curious, honestly i really liked the old fallout rpgs and didnt expect a great game moving from isometric to 3D fps style, instead i really liked it, even unmodded its very solid, fun and if you like to explore it could require more then 200 hours to visit every zone (note then the dlcs are not as good as the game iteslef, especially a couple are just shooters).

Another idea could be Mass effect 1 or 2, they could be good choices also as they are quite often at nice price, beside the fact im not personally a fan of the franchise.
Dragon age Origins is another one quite recent and solid, even if it lacks a bit the sense of freedom and immersion as you cant free roam.
Another one could be Skyrim, surely a great modern rpg anyway atm its still full price i guess.

As classics i leave out the list, it seems you played the old rpgs, and about the mmos i just mention one, honestly i suggest you to try guild wars 2 when will be released, as i have the idea it will be quite impressive as gameplay, also i think that since wow release the single player rpgs cant compete anymore with mmos as immersion and size.

I'm going to say Geneforge. I really love what they did with the world. I really feel like Spiderweb spent a lot of time figuring how a world would be if the main technology was based on modifying lifeforms to fit a tool use. The world was very deep and the factions felt quite real and viable.

FO:NV is a lot better than FO3 in that respect, but FO3 isn't really that bad. As long as the OP doesn't care about it not being a real Fallout game.

The DLCs unfortunately, really varied in that regards. I loved the Pitt and OA, but Mothership Zeta and The Point weren't worth it. I'm somewhat on the fence about BoS, I can't really remember it enough to really have an opinion right now.

But, the rewards, especially from OA, are way too powerful.

I was going to say this but then I didn't cause I figured that may as well mention games on GOG instead. An awesome indie series so far. Still, on the second one.

The Witcher games
Gothic games (before 4)
Risen
Elder Scrolls games
Legacy of Kain
Stalker series
Metro 2033

I would recomend Albion if you haven't tried it already :)
You'll need to use dosbox to make it run on a modern system.

For a taste on how the game works you can look at the first part of a let's play, here. The game have both a sci-fi setting and a fantasy setting.

It also switches between isometric view and first person, the combat is grid based.

I'll pass the Mass Effect vs. Planescape Torment argument, and mention Star Control 2. Ok it is kinda combat heavy when you are fighting the enemy ships. It is not really an RPG, but you get to equip your mothership with better and better weapon systems, engines etc.

I would suggest Arcanum, as its one of the less obvious choices, not the best game in the world, but a bloody good one in a great setting.