Every location has rich history, and this is conveyed both visually and through text. The worlds of these games are made real by repetition. For instance, in Fallout: New Vegas, I ran into a character in the middle of the wasteland that warned me of invisible guardians of a mountain. He emphasized the impossibility of reaching the top of the mountain and convinced me not to take the quest with my low-level character. I kept the interaction in the back of my mind and walked away.
A couple hours later, I was tasked with eradicating ghouls from a facility so that the town of Novac would be rid of them. When I arrived at the facility, I spoke to a ghoul who told me that there were monsters in the basement that prevented the ghouls from leaving. I headed to the basement and discovered that the monsters were invisible nightkin deluded to the point that they believed they were being lead by an animal's skull. The nightkin were a connecting factor between this quest and the one I turned away from. I learned that the nightkin were not inherently invisible, but addicted to the stealth boy drug.
The characters and stories of the wasteland are not isolated to different sectors, but rather spread out across the world. The result is a game world where characters actually seem to live in and affect the environment.