I’d recommend Steambot Chronicles. Some of the vocal songs are bad (in an otherwise great soundtrack) but otherwise the game has a lot going for it. I never tried being a bad guy, but the title screen says that you can.
I have not played a lot of “open world” games, but I like the way this one lets you explore and take or leave any of the optional aspects of the game that you come across. Wandering the streets is nice and atmospheric, and there’s at least one clever and somewhat-subtle reference to R-Type.