I've really enjoyed both the Underworld games, just curious if anybody can recommend any similar games?

I don't know of any here (I'm not overly familiar with the genre, admittedly) but there's the King's Field series, which seems similar.

Arx Fatalis is spiritual successor of Ultima Underworld games.

There really aren't many companies making games like this anymore. Bethesda is one, with their Elder Scrolls series. The Gothic series may be similar, but I'm not sure how open world it is.

You're probably familiar with these already, but some modern games that are somewhat similar to Ultima Underworld would be:

Deus Ex series (1 and the newly released "Human Revolution" are the best)
System Shock series
Bioshock

All of those are more sci-fi/future oriented, but the gameplay is somewhat similar.

The Gothic series would probably be considered open world, at least as "open" as these games (despite being underground). A lot of old RPG's would be called open world nowadays, that just used to be the way they were made. You could explore, but you might get killed. Gothic is definitely in that mold.

The first two Elder Scrolls games, had a similar style. Open world, first person combat etc. Dungeons are not as good IMO, but there are a ton of them. While these games were and still are glitchy as hell, they are legally free at these links:
First game: http://www.elderscrolls.com/arena
Second game: http://www.elderscrolls.com/daggerfall/

Arx Fatalis was (I believe) originally started as a possible Ultima Underworld 3, so that's a good choice.

TES: Daggerfall would be a good choice if you're looking for another sandboxy first person RPG from the same era.

System Shock 1 uses the same engine, a similar design philosophy, and a similar (although more complicated) interface.

System Shock 2 and Deus Ex are more modern games that use a similar philosophy.

I'd say try out System Shock 1. It's probably the closest. Here's a review to give you an idea what the game is like:

http://waltorious.wordpress.com/2011/10/15/history-lessons-system-shock/

As far as being in the same style of Ultima Underworld (one of the best games ever) the closest that GOG has to offer is Stonekeep.

The only issue with Stonekeep it is almost impossible to beat without a) HUGE amounts of luck and B) ALWAYS looking a walkthrough

Otherwise, it has an interesting storyline.

Now, ask yourselvf what you liked in these games...

There are many first person combat oriented RPGs. But most are much more linear than UW2.

I agree that Arx Fatalix is the closest recent game but I personnally could not find any fun in it.

Both system shocks are worth investigating. The setting is different but I really found them on par with UU. In another genre but from the same team, the various "thiefs" games.

Now, if it's the open RPG genre that appeals to you, the Elder Scrolls series is quite impressive. The time you'll have to spend mastering the beast is impressive too.

Thanks for the links. Along with legality, the best reason to get them from those links is because that site is run by the copyright holder and they still do offer a little support for them such as how to get them running.

Arena is actually quite interesting although the smallest of the Elder Scrolls numbered games. Daggerfall has probably the largest landmass of any game released yet. Literally, it would take days to walk across the map and years to visit all the towns. (There are hundreds of them).

These games are definitely worth a try.

I forgot about that post. Fixed the second link. It's great that these were released for free. They used to be tricky to find even if you were willing to pirate. Most sites would just host the Daggerfall demo. Definitely save constantly in Daggerfall. Not only is it hard, glitches will often make quests unfinishable.

There is another Origin-made game which uses the same engine, called Shadowcaster. In it, you can use karate to attack, and transform into different monsters, too!

Here is a gameplay video:

http://www.youtube.com/watch?v=Jc3l8MybWu0

There's also Stonekeep, which I thought was a blast. Heretic and Hexen were also pretty similar. If you *really* want old school, check out the Catacomb 3D series, by id Software. John Romero and John Carmack actually seen Underworld at an Expo, and tried to copy it.