Trails in the Books

All video games perhaps save for the oldest arcade and Atari 2600 games, wanted to have a world coherent at least on a basic level, mostly to make the gameplay feel more engaging. But soon settings that existed for their own sake started to emerge, at the same time when role-playing video games started to emerge out of tabletop games. As their offshoot JRPGs too enjoyed a great deal of world-building themselves. however, while never quite above "throwaway" worlds, the worlds of most JRPGs (honestly most games outside of some westerTrails in the Battlefieldn RPGs) stayed tied heavily to narrative, where the world mostly born and died at POV character's journey. This isn't a bad thing of course, Undertale isn't a lesser game because we don't know the creation story of monsters or the biography of the Annoying Dog.
But Trails in the Sky had different concerns. It wanted a world that felt truly alive and it didn't want it just for fancy advertising like many games do today or even appeal better to lore nerds like me. Even the world itself serves the themes of the games. Now, let's look at this world,  what methods the series used for presenting it. Once again, my main interest will be the first two games.

Linearity and Progression of Time

It is generally assumed that if you want true world-building you have to make your game open-world. After all, it is an easy way to let people explore the world, see the world in its organic way. But when doing this, they often sacrifice the feeling of time. And static medieval or highly technologically advanced settings don't exactly help. In Trails in the Sky on the other hand, the world is truly moving on.
In Zemuria, the continent game passes on, an event called "Orbal Revolution" occurs 50 years before the story starts, a phenomena which mirrors the Industrial Revolution, but with a source much more efficient and easier to use than coal. By the start of the game, the whole continent is going through a massive change, new technologies are built everyday, old and new things are being used together. Feudalism is dying and getting replaced with a (highly idealized) capitalism.
The world of Trails in the Sky is also moving with the narrative too. Every time the main story progresses, majority of NPCs you can talk change their lines. Their lives are moving on and they react to things happening. This is something so many games with proclaimed alive worlds misses. It's not very important whether NPCs of Skyrim have daily routines or not for example, they always repeat their dialouge: People in their town may die, a dragon may attack their city, a major civil war can happen, you can be in 150 hours into them, people are still saying same things. What Trails in the Sky did with its dialogue is a heavily daunting task of course and it's far less marketable than a city that looks alive for the first five minutes you are in, but just like with the soundtrack it's that excessive effort what makes the series truly special.
And there is also little touches, like minor changes in scenery, newspaper that narratives the current events, books that look like random stories but actually are related to the events in the game are just icing on the cake. Time progresses and the world changes, in both miniscule and gargantuan ways possible, all thanks to careful linear design.

The Role and Impact of Main Characters and NPCs

The main purpose of heavy world-building in a video game is giving the sense that world is larger than player's story, that it exists when player looks away. This is often conflicted by the desire of making the player character feel the most important and powerful, which implications is rarely even mentioned.
In Trails of the Sky however, player characters are not the strongest and this is made very clear. Even with all you achieved at the end of the second game, you are far from something that brought down gods, quite the opposite, your victories are not just spoils of a few people, the achievements belong to at least several dozen people, and partially to all of the country. This doesn't invalidate anything you do, far from it, the series is a better power fantasy than actual power fantasies, main characters are truly aware of their capabilities and see the impact they are making. The player controls both exceptional and totally ordinary people at the same time. Not only this feels more empowering with a sense of scale, it also avoids the questions like "How would characters just turn back to simple lives when they are able to slay strongest creatures in the universe?"
This is tied of the two themes of the series: Solidarity and everyone having their own stories. The second theme is also why the game has so much dialogue. Majority of NPCs, no matter how trivial they may look have their own stories. Their dialouge usually doesn't serve the player or main story.  They talk about their own lives. Daily stuff, sometimes reacting to events, sometimes a little problem. The dialouge in this game is, simply put, frickin' excellent. NPCs have so much character, considering just how many of them are in story. The game is able to avoid the feeling of exposition dump, finding subtle ways to tell about the world and it's pass. They are more memorable than some main characters than in some games. In fact, they are a bit too good, they become the standard I search for in games, which unfortunately most don't deliver.
Playing this series made me realize how important NPC dialogues are. They are the single most important thing for world-building in my opinion, more than having highly detailed 3D cities, models with high polygon count, voice-actors... they can be all top-notch, but if your NPCs still repeat one line for the entire game like it's 1980s, your worlds will never get rid of feeling gamey.

Gameplay Integration

I talked about how battle system interacts with the setting here, so I'll talk about quest design in this game instead. While the game is linear, it does provide some freedom with its sidequests. They are often lighter on quest design, just beat this enemy or bring that item, but they have much more narrative substance. They are designed to encourage player to visit most places and talk with NPCs as much as possible, the main purpose of them often is to give a chance to observe NPCs' lives. You will also get items, recipes and even some secret quests. The devs made sure that players would want to go through all that dialogue they wrote. And, they were succesful, at least on me. It's one of the few series that I wanted to 100% complete, not out of getting a Steam achievement, but a far greater reward of experiencing more of that quality writing and getting a little more of from the world.
The Visuals 
The games use 3D models plastered onto isometric 2D backgrounds. They look both aesthetically pleasing, detailed and just abstract enough to have entire dialogue on text without being weird at the same time. The art direction is able to give the feeling they want. Homely, classical, industrial, breathtaking, alien, ancient... While the game is light on animation outside of battles and doesn't use environmental storytelling too much, when it does use it, it's successful.

(image from https://lparchive.org/The-Legend-of-Heroes-Trails-in-the-Sky/Update%2026)

(image from http://www.trailsinthesky.com/sc/welcome.html)

(the image is my screenshot)

The Music

I talked extensively about how music affects the setting here. I once again stress it's something you should experience for yourself.
Trails in the Sky has more than a decent narrative and story. They certainly didn't have to go to this effort, yet they did, just like they did with the music. But putting that effort distinguishes great games from good ones.