Hoenn is the only region that feels like you're actually putting yourself in danger exploring a perilous wilderness. All the other regions are way too urbanized and safe/sterilized, with the exception of tropical Alola, but Alola also lacks the same edge as Hoenn. Hoenn has numerous locations built in communion with nature, there's a significant lack of cities and even the routes themselves feel wild and untamed, whereas the routes in other regions feel like normal roads you'd take to reach the next city. Also the map design of Hoenn lends itself well to exploration since you're always finding shortcuts to circle back to previous areas. The large amount of water routes can also at times leave you lost like you would if you tried to go to sea by yourself.

It doesn't make it necessarily the best region (though I think it is), but I would love if more regions took the same approach: making it actually seem like a dangerous and daring adventure to leave your starting town and explore the world