The Elder Scrolls IV: Oblivion -
If all of this doesnt occupy you then you can also join the various guilds situated in the various towns, including the Mages Guild, Fighters Guild, Thiefs Guild, and the Dark brotherhood (or assassins guild) this will give you various benefits such as access to new spells, armour weapons etc, and a whole new set of side missions that you undertake for money or other rewards. Obviously each guild is better suited to different classes and missions will be easier if you have a higher ability in skills of that guild.
Levelling up is also a lot more natural in Oblivion. You get better at skills just by doing them. So to improve your accuracy with a bow and arrow just keep using it. Initially your skill level will increase quickly, but as you progress through the levels it takes longer. You can also increase you skill by paying trainers in any of the major cities to train you in certain things. So you can get someone to teach you about heavy armour, thus increasing your heavy armour skill. Finally, when it is time to level up, you need to find somewhere to settle down for the night, and after having a good bit of kip (something you wont get in the real world while playing this game, so make the most of it!). When you wake up you will be presented with the traditional screen displaying all your skills and you can spend you skill points according to what skills you would like to increase. The whole skill system is just as deep as any other RPG (if not deeper) but seems far more accessible and attached to your actions in the game world, rather than just arbitrary way of character progression.
Cyrodiil is a dangerous place, enter it with caution as it is in a dimension all of its own, where 5 hours seems like 10 minutes and an unexpected adventure lies around every corner. Each of these adventures is so compelling as to deprive you of the comfort of your own bed, offering some new interest. Whats more, the freedom of this game is staggering. Go buy and sell, do a few quests, some treasure hunting in one of the many caves or mines, explore the wonders of the land. The list goes on, and thats before you even touch on the main quest. A hint at just how expansive this game is appears at the beginning with the fantastic character creation tools. I must have spent over half an hour or more playing around with every conceivable detail of my characters appearance and Im sure many others could spend far longer. It is also here that the story begins. With you, as seems to be traditional in Elderscrolls games, starting your journey in a prison cell. As luck would have it, the Emperor happens to be passing through for reasons I wont divulge here, and releases you from your captive state.