Basically, how much of the world is interesting/fun.
For example, Fallout 3 doesn't do a great job of this, as much of the world is baren with no story or gameplay. Half of the world feels like it could be cut out without much loss. The Yakuza games on the other hand, have smaller worlds but they feel massive and fun because there's always something to do moments away.
The work-around is to make travel fun, so the "empty-space" is just more gameplay. The Just Cause games are the perfect example of this. All the movement mechanics are quick and satisfying, from the grapple and parachute, to the driving, to the OP wingsuit.
It has been a little while since I last played it, but I found that scale-wise, it felt small (I'm guessing this is what you mean) with major locations too close together, but content-wise, it felt sparse, empty and ultimately pretty boring, which was the much bigger issue in my enjoyment.