Well this depends on what kind of genre you're interested in Syf. Are you looking for GTA-like games or just any free roaming game at all? Are you looking for a list of any game under this description or just good ones?
My choices are PC unless otherwise indicated. Some that immediately come to mind which resemble GTA (And I actually like a whole lot better than those games) is Mafia; I have the PC version and it is a fantastic game. It was made by Rockstar I believe so if you like GTA, Mafia would be a good choice.
Similarly themed is the Godfather game. Almost identical to Mafia and admittedly not the best game around. However if you liked the movie, it features almost the entire cast (With the exception of Pacino) doing the voiceovers and you get to take part in the original movie's most classic moments very cleverly written. Maybe you can find it in a bargain bin?
For PS2 I recommend Silent Hill 2 if you like horror games, extremely psychological and haunting.
If you're into RPGs here are some which might interest you:
Fantasy: I would also recommend TES3-4 like mentioned above. NeverWinter Nights 2 and its expansion are also very good. Two Worlds is free roaming but honestly I wouldn't recommend it.
Sci-Fi: Star Wars Knights of the Old Republic is as close to perfection as I've played in RPGs (The original, not the sequel by Obsidian which was lukewarm at best). I'd recommend Mass Effect based on the game itself but the useless security protection put into it is a huge problem (Check out my long rant on the worst gaming problem thread if you want to know what this is about). If you don't mind that issue then I definately recommend it, it's a terrific game in and of itself.
Horror: Vampire the Masquerade Bloodlines was also mentioned and is a terrific game. Like the Elder Scrolls games it's First Person, but the character developments in the story and the rich lore in religious and politically tumoltuous environments really shine.
