This is probably not exactly what you were talking about, but in spite of what I consider to be an over-wrought story, I still really, really enjoy the first Adventure game because it most successfully established a sense of place via the Adventure Fields and the Action Stages. Like S3&K, you get a sense that you're not just traveling to different, distant stages, but rather that you're on a continuous, flowing journey, with each location along the way interconnected with the others and each important in their own way. More than anything else, I got the sense that I really was fighting to stop Dr. Eggman and Chaos from screwing up the lives of the people in Station Square and the world in which the game takes place in at large.Having a well thought-out and interesting world can play into the level design to create more compelling gameplay.
Of the games to try and integrate Adventure Fields / Town Stages with regular levels, Adventure was the most successful because the Adventure Fields were fairly compact and easy to navigate, had interesting things to do (like finding the hidden Chao Eggs or the minigames) and even reoccurring characters to talk to (like the girl near Station Square's train station who waits for her dad to get back from the Mystic Ruins), and most importantly had a great sense of location because you actually got into Action Stages via entrances incorporated into the Adventure Fields, not warping to them using magic mirrors or pedestals or whatever. The only thing I wish the Adventure fields incorporated was the passage of time (i.e. the time shifting from daytime to sunset to night), maybe changing when you traveled between the three big Adventure Fields, during post-story play. I was kind of disappointed that I wouldn't be able to see Casinopolis's glitzy entrance at night or the Mystic Ruins during sunset anymore.
Sonic '06's Town Stages were too spawling, uninteresting, and visually dull, to the point that they're not only a drag to get through, but are incredibly easy to get lost in. Sonic Unleashed's Town Stages have a much better sense of scale and are colorful places filled with things to do and people to talk to. I don't really know why it was decided to segregate the stage entrances in an entirely different map, though. It kills the sense that the levels are simply particularly interesting paths connected to the Town Stage.