in Arcanum, you can build your own weapons and equipment from schematics and parts. but you are creating from a pre-defined set of templates.
There is also a monster-shooter mech game (top down, no real tactics or plot, no terrain, just hordes of monsters from all sides) where you design circuits to make the various systems of your mech work. It is pretty similar to that "bureau of steam engineering" game from Zachtronics where you arm, power, and configure the internal logic of your mech. The parts are all canned, but you can configure them to do unique and clever things. Forgot the name of it though.
Then there are various modern shooters and tactical shooters where you get to customize your guns by adding accessories and such.
Then of course pretty much any of the mechwarior series where you can customize your mechs, and the Heavy Gear games by the same token. You also have custom spell design and enchanting in the Elder Scrolls games (arena, daggerfall, morrowind, oblivion.. I dont think redguard and battlespire had any of that).
I cant think of many others where this sort of thing is a built in part of the game -- but as others have pointed out you can mod just about any major game and add what you want from scratch.