Pathologic is odd. Playing it is an experience not soon forgotten, that's for sure. Probably not the best game of all time, but at least it is one you remember.
Also worth checking out is The Void, by the same company. It is better localized, but also even odder and not a game for everyone (not that Pathologic is for everyone either).

S.T.A.L.K.E.R. Series are pretty good.. with the COMPLETION mod its awesome.. I highly recommend it .

Pathologic is survival horror or just a survival game par excellence. Not only you need eats and sleep, there is a plague and thiefes and murderes but the economics are collapsing with the town itself.

I'd bet that YOU will love it. If you don't get some game-breaking bug.

Yeah, considering that the game I'm working on is a lot like that, it's quite likely that I'll love it :3. Plus, it looks like it has a very STALKER-like atmosphere, plus a little bit of weirdness. What's not to like?

By the way, as far as immersion goes, I'm gonna throw another one out there that I'm sure most would disagree with but perhaps the OP might enjoy it (I did, I completed it and loved it, though admittedly not as much as others mentioned here).

Soulbringer. Every time I fired that game up I just felt like I was there. From the beginning of the game where it's snowing like hell and it's just as quiet as it really is when it's snowning to the taverns, caverns, cities, and everything in between, it was truly very immersive.

It wasn't, however, the best of gameplay. It's sort of a hack and slash, with modifications. You can set up moves, then click that to be your attack. And then when you're good enough, you can set up multiple moves, and that's when you get to feeling pretty good because you can deal out lots of damage that way.

I hated the way the levelling system worked though. You were forbidden from exceeding certain limits on attributes until every one of them was there, and then it would start over. It may have been a balancing issue, I don't know, but I didn't like it. There were many level ups where you simply had no choice at all in what attribute would increase, because it was the only one left that hadn't met that threshold.

And I'm not much on hack and slash games to begin with. I was never much on Diablo, though admitted I played them. But this one got my fancy enough to keep to the end (as did Divine Divinity) and it was a.... well, I won't spoil the ending. AWESOME is all I'll say.

But as far as immersion, feeling like you're there, this had a lot of that. NPC's weren't nearly as developed as in some other games but still there was plenty of immersion. At least for me there was. I dunno, for some reason every time I've discussed this game it gets a lot of haters (who I admit have valid points as I just make some myself) but overall I enjoyed it to the end. It was a little buggy though, probably should throw that in too. I purchased the GOG version just cause I think I might go at it again to see if the bugs are still there. Guessing they are, but you never know, I might've missed a patch or two back when I played it many, many years ago.

OH another setting in an RPG which is awesome is Darksun. Basically almost all places are like deserts because of mages stealing so much energy from the planet. A few mages are sorcerer kings ruling over their lands. You start out as gladiatorial slaves and first have to figure out how to escape and then once you do the game is fairly open ended and your goal is to help the slave villages to get together with you to defend themselves from the sorcerer king's army. I always lost in the final battle but even though I could never beat the game it still kickass. TONS of bugs though and the second one is even worse bug wise.

Slightly off topic- GOG really should have the Darksun games here!

My favorite way to play Dark Sun
20+ year campaign still going strong. Best AD&D setting ever created.

Dark Sun isn't actually all that immersive. I mean, it doesn't have any of the survival aspects of the setting. What were the devs thinking?

I recommended Might and Magic series. There you can find big, interesting world, nice plot, lots of background history. And you don't need to play only at role-playing games. The history is mixed between stategies (Heroes of course) and action rpg (Crusaders of Might and Magic isn't best option, but Dark Messiah is great and fantastic).

In my opinion the best way to start play is Might and Magic 7 and Heroes 3.

Many good examples made so far. In addition I would strongly recommend

Star Wars: Knights of the Old Republic II: The Sith Lords.

In my opinion much underrated. Even though they were forced to rush the game, Obsidian did a great job. In many aspects KotOR II is superior to its predecessor: It's much darker, deeper (you learn a lot about the nature of the force) and there's more party-interaction (my impression). Don't get me wrong, KotOR is one of my all-time favourites, but KotOR II improves the experience a lot. And btw: Don't forget to install the Restoration Mod!