The world ends with you [DS] - modern japan jrpg
Soul Reaver [PC, PS1] - post-apocalyptic vampire wasteland, good dialogue and voice acting, but it is zelda-ish in terms of action
Phantasy Star Online/Portable (or even the classics on a genesis collection on ps3) [psp, pc] - futuristic / sci-fi, the modern ones may be too action-y
Parasite Eve [ps1] - Modern New York, jrpg
Valkyria Chronicles [PS3, psp] - Europe, but WW2 era, strategy rpg
Jade Empire [PC] - China
Also, while you aren't looking for MMOs, one of the best non-medieval settings I've seen in a game (in terms of novelty and atmosphere) is Anarchy Online [PC]. I find that when I play it I am alone far more often than in a group, combat pace is slow enough and mechanics are suitably complex that it's almost more of a strategy game to optimize setups. It is turning 12 years old this month, so it's not a dazzling modern spectacle and it has some very old-school design, but I still get back into it every few years and regard it as one of my favorite games.