I was playing "Half-Life: Episode 2", I was escaping from combine guards along with Alyx. It was a tense situation, although we managed to get some of them, they´d get more reinforcements, so we went through a blast door and Alyx closed it.
A little later the combine started to slam the door ( I had the subwoofer at a quite loud volume ) so my bedroom door started to rattle with each impact. The first time, I jumped in my chair and looked to my side like if I was expecting someone to enter, the funny thing was the way I was looking in the game´s room made the door in the game be at the same spot that in my own bedroom. When I turned back at the monitor I heard a second slam ( and because of sound positioning from the 5.1 set I could hear it exactly at the same spot as in the game ) , in that moment I was like WhooOAAaa!!

I did get some things mixed that I suppose happen to everyone:

- Turning my head to peek across a corner when playing a first-person game. This was more common in the early days.

- When confronted with a tough decision, getting that "feeling" saying "This would be a good moment to save my progress." And then realizing, disappointedly, that you can't do that in real life.

Of course. Pratchett's Assasin's Guild is a fine example.
https://en.wikipedia.org/wiki/Tetris_effect
Used to happen to me in the early 2000s (where did that time go...)

Maybe you reloaded. ;-)

Back when GTA San Andreas came out I played the game any chance I got. I grew up in a not very nice neighborhood near Los Angeles so in a weird way Los Santos felt like going home. Crusing around Vinewood listening to Tupac, it was like being in high school again. So, suffice it to say that I spent way more time playing San Andreas than I should have. One day my wife was going to have a girls night at a friends place so I had the house to myself, so of course I binged on GTA. After a while I got hungry, looking at the clock I say that it was 1:30 in the morning. I had been playing for about 7 hours straight. I decided to be a responsible adult and turned the game off, but I was still hungry so I went out to get some late night drive thru tacos. As I was driving I had the classic rock station on the radio and it started playing a song from the game. I thought "Cool, it's like GTA!" The next song was also used in the game but when the third song came on and it was also from San Andreas it got a little disturbing. At that time I also noticed I was speeding and that I might have run a red light earlier without thinking about it. I pulled into a gas station to give my head a chance to clear. As I sat in the parked car I saw two young women dressed up a bit like the prostitutes in the game, in retrospect they were probably just bar hopping college girls but at the time it was just too much. I went home and went to bed and didn't touch GTA again until about 8 months later.

christmas night on my saturn wished me happy new year on 2 jan

When at the swamp in the first Gabriel Knight, I tried to take the sign and it didn't let me, saying that if it were removed, tourists couldn't find their way to the place. Immediately, I said out loud "Would that really be a bad thing?". As soon as I did, Gabriel said the same thing.

This one happened to a friend when he was playing Star Wars: X-Wing.  He was in the middle of a fight when an enemy rocket was fired.  When the rocket finally hit his starfighter, his CRT monitor went up in smoke and died!  A truly virtual reality experience!  :-)

After playing Command and Conquer 1, my first RTS experience, I woke up during the night and franticly started searching around my bed for the harvester. It took a while before I realized what I was doing.

When I first played Silent Hill 4 - The Room I got legitimately traumatised. I had played through all other SH games, no biggie, but the ghosts in SH4 really deeply disturbed me, so much that for a year or two I couldn't get myself to beat the game. Anyway, that sound that the ghosts make, bit like a vacuum cleaner, had obviously found itself a cosy spot in my subconscious.

One day I had a terrible nightmare. I heard a scream, went to the kitchen and there I saw my grandmother with greenish greyish skin, shaking and groaning in agony. Out of fear I ran to another room and locked myself in and then I heard her behind the door, floating around like the ghosts in SH4, making that memorable VROOOOOM sound. I was shitting myself (not literally). Then she started squeezing herself through the locked door, like the ghosts in the game, I couldn't take it anymore and woke up.

I opened my eyes and I was lying there in my bed. Thank God, just a nightmare (well, duh)! And then I heard the sound again. VOOOOOOOOOOM! I almost got a heart attack. Then I finally got what was happening: my window was open and what I had heard was some tool from a nearby construction site. Apparently I had heard it during my sleep and this had triggered this nightmare "inspired" by the game.
Lol, I had a similar thing in Alan Wake. There's one spot where out of nowhere a railroad car just falls from the sky and crashes into the ground right in front of you. Almost gave me a heart attack. The same moment Alan and I muttered "fuuuuck". :D

I had the weirdest experience EVER playing Sonic 1, of all things, on my Genesis. It was around 1994 and I had been playing it for at least 3 hours straight. I eventually decided to turn it off. So I did... but the tv continued to display game footage.
Now, remember that tv was analogical, of course. Once I turned the console off the image was pretty poor (worse than this), all grainy and B&W only.

Shocked to see that happening I removed the console, turned the tv on and off, racked my brain trying to figure how it was happening because I knew it was impossible. I mean, I could barely make out what stage Sonic was running through, but the footage even paused for a few seconds just as I had done a few minutes earlier! Those were my movements as if I had a VCR hooked up.

I called my brother and my mother to see. The footage continued for at least 10 minutes and the image eventually degraded into nothingness.

To this day we have no idea HOW it happened. Me and my brother are both fairly acquainted with many different technologies and we just can't explain it.