Easily Fullmetal Alchemist: Brotherhood. It's perfect in terms of everything, and that includes building a fantastical world. Magi, as well, though it's a lot more of a fantasy setting, and brilliant at that, being able to combine several characters from the Arabian Nights story, and trying to create this political fantasy shounen anime, and excelling at it.
Love both the series.
Others include Fate/Zero, Made in Abyss, etc.
And since Isekai are technically fantasy as well, I have to throw in my favourite from the Isekai genre: Log Horizon.