Over the years as I've experienced a number of different RPG worlds, both on the tabletop and PC/console RPGs, I've found myself drawn to the ones with more nuance and mystery, challenging the player to wrap their head around them.
This is the number one reason why I loved Planescape. You literally couldn't assume anything - anything could be waiting around the corner, and mysteries were abound throughout the experience. Planescape did this by having a bizzare world that was beyond any one person's mind to comprehend.
Along similar lines, one of the things I really love about what White Wolf did with their RPGs, namely Vampire: The Masquerade, is that they took a similar approach, but along a social dimension. If you think about it, a lot of RPGs, over the course of playing them, allow you to pretty much understand everything about their world from an omniscient perspective. Orcs are evil, elves are good, or whatever.
VTM did something completely different though. Rather than describing their world, particularly the various bloodlines from an omniscient perspective, they gave relative accounts of how any given bloodline thought of the others. What do the Brujah think of the Tremere? What did the Malkavians think of the Followers of Set?
Essentially, the world was described to you through biased, often contradictory and incomplete accounts from a variety of sources, who were themselves steeped in mystery. I feel like this kind of relative characterization, of both the world, characters, and factions, gives VTM a richness I have yet to see matched in other RPGs I've seen.
I would be delighted to see a similar technique be used for Project Eternity.