Regarding Mount & Blade: Warband, with mods...
Well, if you want to get into the nitty gritty, its possible once you create a kingdom to release your companions as vassals. These companions that you have customized the stats and equipment. Then, if your kingdom should fall, then those same companions remain as lords of the land, and will eventually go off and serve someone else. While other lords only like certain of your companions being made into lords, if your not really interested in being a king/queen, then its not a major issue.
I could list off a bunch of titles, but honestly there's one you need to play before any others I might suggest, and that's Kenshi. It's one of those games that's extremely difficult to describe accurately without taking five pages and telling a bunch of stories, but Sseth's review of it is probably one of the better attempts.
Basically: hardcore rust-punk/post-apoc open-world top-down RPG that can be anything from single-character through squad-tactics up to triple digit character count RTS. It's a game where the best default start has your characters enslaved and the worst has you stranded in the desert with a single character missing a limb.
I sort of have to agree with this, only because each and every character you recruit can have their appearance customized, their stats and skills increase by what you do with them, and you can set up in town or
shutter try to actually set up a base. Nevermind, forget I said anything about starting a base, please forgive me Kenshi gods!*
*To explain, setting up a base in Kenshi is basically like declaring war on everyone. Its not, but it feels that way. Once you set up even a solitary shack, everyone tries to beat you up all the time. Some areas are better than others, but if you just want to build, craft, and research in peace, building a base is the wrong move.
Oh, and if you dismiss a character in Kenshi, they continue to exist in the world. They join a faction called the Tech Hunters, and basically just wander around until they get killed.
Regarding lots of games really: If you learn how to mod, then you can really see your custom characters come to life in many games. Kenshi is just one example, since its a lot easier to mod than Mount & Blade, although messing with the import/export features is still fun and easy with Mount and Blade. Total Extreme Wresting also comes to mind.