If we're talking about the sort-of "I feel connected to this virtual world and need to explore it" kind-of "getting lost", then definitely Risen and/or Gothic 3.
If we're talking about that simmy "one more turn" type of "getting lost", then either Sim City 4 or(and much more probably) Roller Coaster Tycoon 3.
If we're talking about that simmy "one more turn" type of "getting lost", then either Sim City 4 or(and much more probably) Roller Coaster Tycoon 3.