As a kid, GDW did this best for me, and they managed it with minimal art: just by opening a sense of possibilities with the text and setting: the Traveller black box, Space 1889, and (perhaps weirdly) the 1st edition of Twilight: 2000. They were really good at creating a provocative, wide open, set-up that my imagination just raced to add to.
As the Traveller universe was filled in over the years it was definitely at the cost of that sense of wonder. Free League, on the other hand, have done a great job preserving Twilight: 2000's core vision of hope and possibility surviving even in the worst possible situation. When their edition came out, it set my mind racing again.
More recently, Through the Hedgerow from Osprey made me feel a sense of wonder. The player characters are really unusual, the art is amazing, and it successfully captures a weird folkloric vibe that I've never seen pulled off in a game book before.