Have you ever played Mafia or its' sequel, the creatively named Mafia 2? While there are quite a few things wrong with those games and their narratives - although the narratives are at least substantially better than your usual Video game yarn - the cities in these two games are simply amazing. While they're pretty much just all backdrop, and not virtual playgrounds in the vein of GTA, the sense of being in this place and time is really fantastic. The first part (from 2002, so it's antiquated on a technical level, but still impressive) takes place in the early to late 30s, the second part covers a perioud form 1945 to 1951-ish.
