RimWorld RTS, survival, colony builder. Survive, stranded, on a hostile planet filled with pirates, ancient mechanoids and giant killer bugs.

You can play however you wish. I always end up playing as drugged-up organ-harvesting slave owners.

There is a very detailed simulation of the human body, with each organ having it's own scars, damages and conditions, all affecting each other. There are also developed systems for drugs, combat, diseases, mood and mental breakdowns.

Honestly it's simpler sci-fi Dwarf Fortress

Mafia series - You play as a murderous mobster

Tropico series - You play as the dictator of a small banana republic

Red Dead Redemption - You're Arthur Morgan, an outlaw who kills for money

KOTOR

Never tried this, but you could play New Vegas with the Legion.

Evil Genius.

The Last of Us (I and II)

Well, let's say that you'll find out your role at the end of bioshock infinite. It depends.

Not open world but man it's so enthralling.

Hmmm a day later and no one mentioned braid.

The Dark Queen of Mortholme. You play as the boss, repeatedly killing the hero who comes back stronger and more skilled.

Maybe the Darksiders games?

Helldivers games, you're the exploitative, fascist empire who creates its own problems.

Kinda surprised nobody has mentioned Metal Gear Solid V and Peace Walker.

Evil Genius. Its old but you play as a super villain.

Dune 2. You can play as the Harkonnen

The Knights of the Old Republic SW games. You can join the dark side.

Maybe not exactly what you're looking for, but Wanderstop could fit the bill. It's a little unconventional, but to great effect; going in without too many preconceptions is probably the best way to play it.

Since you left room for interpretation I have to mention Factorio :D

The Witcher is quite famously morally grey, with no "good" choice to many of the major decisions.

Mouthwashing.

You could do a durge run in Baldur's Gate 3. Maybe also Hitman, but I think that's more anti-hero.

Wasteland 3

PotionCraft actually, now that I think about it

I've just started The Necromancer's Tale, which lets you explore a minor noble's fall from grace into (I think) lichdom. Just came out last summer. The art style is what you might expect from a small, ambitious studio; the writing so far is rather good.