
I personally really don't like Bethesda games, though I respect what they aim for. That being said, while I totally despised Oblivion, Skyrim has been much better. I still only played it for about two weeks before getting thoroughly bored, though.
I highly suggest Fallout 1 and 2 for open ended games that have enough drive and story that you CAN just go where the game tells you to and have it feel like a linear game. Except, of course, the knowledge that at any point you can just say "fuck the world" and go dick around and do other stuff makes it feel non-linear anyways.
I heavily disagree with the sentiment that WRPGs have declined further than JRPGs, though. I still enjoy things like Mass Effect, Dragon Age, Skyrim (to a point)...but the only JRPGs in the last generation that I could STAND were Lost Odyssey and Xenoblade, and I don't even like Xenoblade that much in retrospect (it really just feels like Rogue Galaxy with more stuff), where as JRPGs pretty much defined the PS1-era for me.
EDIT: also, the title kind of answers its own question..."What's the appeal of open world western rpgs?"
Well, one, they're open world. Two, they're western, which means a large chunk of people will be able to relate to the concepts, characters and writing in them much better than those in a foreign made game. I'm not saying that this is true of EVERYONE, especially not on these forums, but I don't think it's an unfair generalization to make.