The first question should always be: "What do they eat?" Followed by: "What do they drink?" Arcanum, New Vegas and Morrowind have the best worldbuilding, and they give an answer to both questions.
New Vegas and Arcanum, unlike Morrowind, handle politics very well. Each location and faction have their own interests and goals that are often in conflict with other factions. But not only that, the major factions in both games have interesting philosophical backgrounds.
Caesar with his Hegelian dialectics, NCR being his antithesis, both being attempts to recreate civilization by copying civilizations that have already failed, to which the game provides two alternatives in the form of House (science bitch) and Yes Man (lmao idgaf).
Arcanum meanwhile showcases the industrial revolution in Tarant and what happens to societies who refuse to adapt and stagnate via Dernholm. If Uncle Ted played Arcanum he'd genocide everyone in Tarant.
So not only do these games show you the utilitarian aspects of worldbuilding, but they provide some philosophical basis of the world, that I at least, find pretty interesting. You don't necessarily need that basis, but it goes a long way.
Language is a brutally underutilized aspect of worldbuilding. You don't need a fictional language, but the inhabitants of the world do need some form of a unique lexicon or vocabulary that arises naturally from the world. The zoners, pipeworkers, and barrel soups of Core City in Underrail is simple, juvenile, and pretty fucking great imo. NPCs crying out n'wah in Morrowind is unforgettable. Now compare it to PoE and Deadfire and their lazy use of Italian, Welsh and Polynesian. It throws in a couple of words, some naming conventions and that's it. Boring.
The atmosphere or immersion is pretty important. The art style, UI elements and the music need to fit the game world. While not directly tied to worldbuilding, they do convey a feeling of the world. Morrowind doesn't stop only at the flora and fauna in portraying its alien world, the armor design feels and looks alien.
Most fantasy games simply stop at generic medieval inspired armor, which is neither authentic, nor particularly interesting. Planescape also does a similar thing, where the aesthetic, almost by itself, manages to create interesting wolrdbuilding.
Basically, there's a lot of shit that goes into it. Consistency and logic is the key.