The Al Bhed Primers in Final Fantasy X. Slowly learning a whole in-game language is pretty neat, and also optional except for I think maybe one Primer that you have to pick up. To me it reinforces that there are more to the cultures and cities of the world than the small slices you interact with.
The physics system in Oblivion. That was the first game I'd played where you could pick up and manipulate things on tables or counters. It made it feel like there was a reason for these things to be put where they were, especially in shops, where anyone, including your player could buy them or do whatever.
The traveling merchant in Wild Arms 3. Annoying, because sometimes he just isn't at a town and you can't buy items to cure status ailments. Realistic, because if he's a traveling merchant, he wouldn't just magically be wherever your party is all the time.
The Persona games, especially Persona 5. You'll see characters in the background during cutscenes or while you're walking to school that will come up later in the story. They stick out somewhat obviously in Persona 5, but if you're not looking for them they are easy to miss. In Persona 4, one of the first things you see is an advertisement of a soft drink starring the pop idol Rise, who becomes relevant to the story later on. Just all these little things that portray that life is happening before, around, and after the main character's involvement in things.
