I wish I could tell you Destiny. The original game, with the original maps and through a couple expansions, had great level construction and felt like you were exploring alien worlds. But because it's always online, they threw away all the good levels and replaced them with weird nonsense.

If you're open to third person, Sniper Elite (at least 4 and 5) fits the bill. It's not one of the third persons with your character in the middle of the screen and the perspective isn't that far off from first person. They're more stealth than run and gun but you can do the latter if you want. But you have enemies patrolling bases, driving patrols, frequent flyovers, and various notes and things to discover.

I can't think of a first person game any better than Doom in terms of world building that you can still play.