All those CoP quests that practically nobody has ever done. I noticed the Odin-shaped hole in the storyline of the game before ToAU was even released, due to the CoP quests and their foreshadowing of the Moblin mission in Aht Urhgan; I predicted to my friends that the next expansion was going to be about Odin and Alexander and how Odin was at the centre of every conflict in the plot. I was -half- right: ToAU was all about Odin, and served as setup to the narrative payoffs in WotG, but the whole time (with the exception of the huge plot twist in WotG/Abyssea) I was going, 'HaHAH, called it!', which is a feeling I love to have.
FFXI's storyline is way more intricate than it's given credit for, if you're not just spamming Enter through cutscenes; I finally finished San d'Oria and, years later, got another vital piece of information I missed that fits into the puzzle.
In any event, my point is it's not just the scenery that supports close reading and attention to detail, although FFXI's zone design and general art direction are probably still ten years later the best on the MMO market in my opinion.