I guess it depends what you mean by "open world" exactly, but FFXI had incredibly difficult content that was not instanced, like Absolute Virtue and all the sea bosses. They were pop-claimed-spawns, but they spawned in the open world and anyone could watch the fight or wander by.
HNMs could require some skill too especially if you had a small group and got claim (people definitely wiped to Nidhogg and so on), but admittedly the claiming system for that kind of sucked.
Not to mention various areas you had to sneak/invis through that could get pretty tense (especially in a game where death meant XP loss, FFXIV death is meaningless).