Dwarf Fortress has Adventurer mode, which, although less developed than the more famous Fortress mode, is still really deep, under slow but active development, and has the unique value prop that you can build a fortress, leave it on autopilot, create an adventurer, go visit the same fortress, chat with the locals, maybe go kill some monsters in the caverns. You can retire an adventurer, switch back to fort mode, see your old character become one of your citizens, and so on.
I had a go at adventure mode, but I must admit I found it hard to create a narrative for myself. It was fun wandering around and hearing what monks thought life was a bout, but I wasn't quite sure where the adventure was.
