+1 to Arteveld
Here's some things I like:
- soundscape (music, ambient music, sound effects and ambient sound)
- the world must exist and work without the player
- first person/third person views are two different kinds of immersion for me (I can be on USG Ishimura but I can't be Isaac Clarke)
- this is big: FPS smoothness (graphics don't matter much, but it has to be smooth or else I start losing the illusion FAST)
- little creative stuff to do in the game (crafting, character development, renaming items, arranging player house furniture myself etc)
- great voice acting
- VERY small lore/gameworld details and choices in wording (like in Skyrim, items with banishment have a text "Daedra up to level X are sent back to Oblivion" instead of just generic "are banished")
- a sense of depth in the gameworld and items (too few different armors or weapons can feel restrained and unrealistic)
It's more dependent upon what DOESN'T happen for me. There are more "breakers" than "makers", Arteveld said most of them. Even bugs or typos don't bother me, but unintelligent dialog (too "easy" and modern Hollywood style), too much handholding and tutoring are bad.
Immersion-wise some of my favorite games are STALKER, Bioshock 1, System Shock 2, Penumbra and Amnesia. I love the dialogue style in STALKER, it's dodgy but it has a foreigner-sort of charm.
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By the way! It's important to note whether the game intends the protagonist to be "you", or intends you to be the protagonist - for example in Doom, the marine is supposed to be yourself (despite the face graphic in the status bar.) But whenever the protagonist has a pre-set name, appearance or other very distinct features, it's no longer "you" as yourself, it's about you being THAT character instead. Different kind of roleplay and immersion, and both can be equally powerful.