There is a lot of environmental storytelling in Thanalan that I really like. There is a staircase leading out of one of the exits from Ul’Dah called the “thousand steps of [name I can’t remember]”. The little zone name pops up and you kind of never think about it. It turns out that that place was where a previous royal was sentenced to walk up and down them until she died. Or the giant statues carved into the side of a cliff, etc. It’s always been one of my favorite areas.