Open-World, Sandbox, RPG, Survival, Stealth, Sci-Fi / Fantasy... While I may not hit everything on your list, I do have a fairly healthy list of recommendations for you...
First, in the "Free to Play" section... stuff to try out would be...
* Starbreak -- A shooter MMO that has a "Contra" like feel to gameplay.
* Spiral Knights -- A Sci-Fi mystery dungeon MMO that has gameplay similar to Zelda: Four Swords
* Path of Exile -- A Diablo-like MMO
In the commercial / retail section of Steam...
* Terraria / Starbound -- These are feel like 2D variations of Minecraft, but a little more adventure. Starbound takes things a step further by going into space (with multiple worlds).
* Retro City Rampage DX -- This is an loving 8-bit spoof of the GTA series that's drenched in 80's & early 90's cultural references.
* Don't Starve -- A somewhat dark survival game that's challenging.
* Final Fantasy series (III - XIII) -- The classic RPG series that spans both Sci-Fi & Fantasy (not necessarily in the same game)
* Torchlight series -- A more budget-friendly variation on the Diablo formula that has a solid story & gameplay.
* Monaco -- This multiplayer caper game has you (& your team) collecting items while avoiding the guards & the various security traps.
* Elite: Dangerous -- One of the largest games in terms of the "world map" (which is the ENTIRE Milky Way galaxy), which includes exploration, trade & combat... however, what you choose to do in-game & online is up to you.
* Dark Souls series -- One of the hardest RPG-Adventure series ever made. While the difficulty is extremely brutal, it's also one of the more fair as all enemies (including bosses) play by the rules of the world & those who are observant (or those who are persistent enough to remember) can catch a glimpse of what the game is going to throw at you ahead of time (as those "surprises" are actually planted in the game waiting for you the let your guard down & catch you off-guard).
* Rocket League -- While only catching the Sci-Fi genre, this game (effectively RC car soccer, when you boil it down to is bare essentials) is fun to play with others & online. It's one of the few competitive "eSports" titles where it's OK to suck in social (unrated) games. Includes cross-platform support with PS4 & XBox One for PC players (although, not at the same time... PS4 & XBox One players cannot play in the same match due to legal restrictions with Sony, although the framework for such support has been developed & ready to be immediately implemented as soon as Sony & Microsoft come to an agreement).
There's like other games that I'm overlooking here, but this should get you started. Enjoy!