What are your favourite games which give that sense of journey? The one's that really pull you in and make you feel the world, immersing you in their environment.
My top faves are Cairn - the perils of the climb, touch of survival and little discoveries along the route really push this game for me, Outer Wilds - the waking gasp at the start, the sounds, and the game slowly building on your discoveries as you explore, Metaphor Refantazio - the narrator, the map trail, walking around town, townspeople chattering, combined just brings me in.