The Ultima series (4-9, at least) all take place in the same world
And it's a very elaborate one, developed over years and decades. The first three games almost don't really count. The first two games can be finished in under ten hours apiece, probably less, but by the fourth, it's something totally different. That's basically an open-world game that you can get lost in, but it's nothing compared to Ultima VII. It's completely it's own world, and you can just ignore the plot advancing and just have fun. Notably, you can make bread from scratch (gathering some wheat, grinding it to flour, doing whatever shit comes between that and baking a finished loaf of bread) and sell it for money (or eat it for food). The NPCs have a certain routine depending on the time of day, eating breakfast in the mornings, working in the fields in the daytime, and having a drink in the pub in the evenings. It's maybe the best computer RPG ever. That's something you can get absolutely lost in, and I love it.
(The "Mastercard" ad is from Ultima VII.