This thread is more like "Name a game you really enjoyed".
I like lots of games. Each franchise is unique in it's own way, I could name plenty that are as diverse and immersive as the original OW games were (some have been mentioned above), just perhaps the OW games were the first I saw which did immersion and storytelling so well - But then I played only DOS and Mac classics prior to discovering AO, so of course it blew me away compared to them.
Beyond Good and Evil had a few aspects to it that reminded me of Oddworld the most out of anything else I've played, other then the OW games themselves (Portal and Bioshock are fantastic in their own right, but I can't see many similarities...) - Perhaps because of the dark overtones despite the goofiness and cheesiness, how you play as a character who relies on stealth rather than direct combat, it's rustic feel, one of the levels is set in a run down factory, it has its own uniqueness, and a bunch of other reasons.
Give it a try if you can get it to work, it's a shame it's a little flaky on modern systems. They released a HD version in 2011 for PS3 and Xbox 360, but it's essentially the same as the 2003 PC version, just with slightly hi-res textures. Maybe you can also find an original console copy (PS2, Xbox 1, Gamecube).