That's what makes the Deus Ex games special, in particular the first one. I remember watching a lecture on YouTube a couple of years ago (could have been by Warren Spector himself - can't remember) and he explained the "verticality" of the level design in the game and the importance of building a truly 3D world. I've thought about that concept, and while many games are 3D, not many take take advantage of verticality and mainly exist on the horizontal plane. They might as well exist as a 2D game for all intents and purposes.
Games don't have to be huge, open worlds to feel alive and interesting. Deus Ex nailed a lot of different concepts such as level design, character development, storyline, puzzles, and music. "Wide as an ocean, deep as a puddle" is how a lot of "big" games can be described, and I think Deus Ex is the opposite of that concept entirely. Concise levels with so much depth and player choice makes it shine.
BTW, I've recently played the original by way of the fan-made enhanced version of the game:
Deus Ex: Revision. Good stuff and worth checking out if you've already finished the original. It's been in active development for a few years and keeps getting regular updates.
Revision is a complete overhaul of the original Deus Ex, bringing new level design, music, and world-building detail. It also bundles in high-detail textures and models, Direct3D 9 rendering, and alternate gameplay modes.
www.dx-revision.com