The lore is at the top of my list. I've always been fascinated with it. Especially since they brought that into the game with the early events in a very deep way. I think newer Devs have tried to keep that going, in varying degrees, often held back though due to demands of players for other aspects of the game.
Next is just playing in a world. That includes the roleplay. It also includes having a "worldly" game to play in. Being able to "look" at thing with a mouse click, setting up items in your house and around the world, "using" things.
I often think players are our own worst enemies. As a whole, we sometimes complain about things, with or without good reason, and the answers lead to less wordly game play. Remember how players used to set up crates to block Dragons just inside the entrance to Destard, and use that as a fortification of sorts? That was just plain fun. But players complained that it wasn't "fair". They took it out. Less "worldly", in my opinion. Those crates should have been player built fortifications instead, and Dragons should have been a little smarter and moved out of range quicker, giving us more play with the whole idea as we would have tried to set up traps to lead them into, used the fortification as a defensive stronghold and safe spot, camp of a sorts, etc.
But UO is still the best all around world to play in. I also like the many little mysteries that are evidently meaningless. The levers in Covetous, the Crystal Balls in Deceit, the few areas that no one seems to have found a way into yet, these sorts of things. They add to the "world".
