Maybe not as lore-heavy as some of the other suggestions, but there was a bit of a boom a few years ago of games that were (a) made in RPG Maker (or felt like it) and (b) had relatively weird and surreal worlds that might scratch that “interacting with unfamiliar worlds” itch. My personal Holy Trinity of these are Middens (though Gingiva, by the same dev, arguably has a more interesting setting), OFF (which apparently had a big influence on Undertale), and Space Funeral (which, like a lot of other games by thecatamites, is partially about the absurdity of video game settings in general). All of these are free, and while their influence on later games might make them a bit less novel than they were back when they were first released, they all present fairly unique and interesting worlds, imo.
I also feel obliged to suggest Yume Nikki (which is arguably all about its setting) and Hylics (which is quite a bit newer than the aforementioned three but feels like it’s of the same subgenre/scene/tradition/whatever).
