For me, I'm inclined to cut FF15 a bit of slack because I think its structure - what relatively little I've seen of it - betrays its age. I'm expecting more of the new Mass Effect in comparison.
Back to Yakuza 0 - One of the things that stands out here is the way the story shows up the ugliness at the core of the Yakuza. Previous entries have had Kiryu, out of the life, but is sucked back into a world of violence and deadly politics, but you never really got anywhere near the sheer levels of violent psychopathy this installment shows. The difference? Yakuza 4 and 5 laid out Saejima's back-story, that he and Majima planned a hit, they were over-ruled but Saejima still did it, killing 18 Yakuza in the process. In the earlier games, Majima lost his eye and was imprisoned. Here, we learn he wasn't just imprisoned, but imprisoned in solitary confinement and tortured to the brink of death daily for defying his bosses. In previous games, the presentation was of a Yakuza chain of command, but here that chain is enforced by the most evil and sadistic thuggery going.
Similarly the hostess concept, which was shown from a consumer perspective - you go to a bar and spend time talking to a beautiful woman, while paying for all the tab. Now that, to me? Looks like an operation for suckers and it really is, but flip it around to those who run the operation? The sleaze and unease factors go through the roof. Sure, it isn't prostitution, but it isn't that far away from it either.
The two factors together really do a very good job of immersing you in this very edgy, dark and utterly fucked-up world of gangsters.