I absolutely loved Arx Fatalis. Same for Ultima Underword. Some of those super old school pseudo 3-D ones like Dungeon Master and Eye of the Beholder I managed to dig up and get running as well. Any other "small open world" games like Arx? I played through Gothic and also loved the heck out of it.
My "Small Open World" Game List
Updated 1/9/2016 (* = I finished this game)
I've broken this list into "Full Open World" games like Gothic, and "Individual Open Maps" games like Deus Ex, where you move between separate map areas but have freedom to explore and do as you will within that area.
Full Open World
Arx Fatalis (of course!) *
Eye of the Beholder *
Gothic 1 *
Gothic 2 + Night of the Raven Expansion
Might and Magic VI
Risen
System Shock *
System Shock 2 *
Ultima Underworld 1 *
Ultima Underworld 2
Wizardry 8
Individual Open Maps
Deus Ex *
Deus Ex 2 Invisible War (yeah I kinda liked it) *
Deus Ex 3 Human Revolution *
Dishonored
Thief 1
Thief 2 : The Metal Age
All comments and suggestions appreciated! It goes without saying this is meant for "good" games not a comprehensive list