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Gaming worlds that completely immerse you?

Bunch of good ones already mentioned in the thread, but BioShock Infinite's world is truly something else with its consistent world design - every door looks like a door that belongs to Columbia, every statue has a meaning to it and seeing a skyline of flying buildings has a completely unique flair unmatched by any game. You really feel like shooting around on a city in the sky despite some limitations
 
Deadly Premonition.

The way Greenvale is designed really makes it feel like an actual place you could visit. Not to mention seeing all the major characters walking around having their own schedules.
 
My favourite ones got already mentioned, so I'll add MediEvil. The game has a Tim Burton-esque gothic art direction with dark humor. And that music really sets the mood for this game. I played it countless times as a kid and it immersed me like only a few games did back then.
 
Red Dead Redemption - I really felt I was in the old west. There were newspaper updates throughout the game, over 40 animals, very realistic settings, Ennio Morricone inspired score, well grounded characters, dynamic weather effects, NPCs doing different tasks, working trains, and a real sense of scale.

Vice City - Felt I was in the 80s literally. Every radio station song and commercial were perfect depictions of the 80s. The sunny beaches and neon colors made me feel I Watson vacation. The world design was very intricate and had me memorize item locations and landmarks very easily. I never was lost later in the game, whereas I still get lost in other GTAs.

Donkey Kong Country trilogy on SNES - Mainly for the music in the first place. Each game I felt I was on some exotic adventure. The world maps really pull me in as well and feel cohesive. Levels have layered backgrounds and set up locations very unique. The whole kremlin gang led by K. Rool had a menacing and hold on the trilogy. Love the Kong family and how hey felt like a real family.

Banjo-Kazooie - The game is like one big fractured fairy tale. The themed worlds are brought alive by the zany cast of characters and enemies. Gruntilda has an always nagging presence. Kirkhope compose a cohesive score which dynamically shifted based on what area of level you were in. The levels aren't too huge where you get lost, but just right. The British humor really sticks out.

Ocarina of Time/Majora's Mask - what hasn't been said

Super Mario Sunshine - Mario on a beach resort island cleaning up goop. The interactive levels and themes made the game really cohesive. A Mario game grounded partly in reality with retaining its fantasy like wonder
 
Morrowind
Fallout New Vegas
The Longest Journey
Half Life 2
Fire Emblem series
Nier
GTA Vice City
Max Payne
 
Mirror's Edge
Arkham Asylum
Resident Evil 4
Yakuza 4
Grand Theft Auto 4
Metal Gear Solid 3
God of War 2
Bully
Silent Hill 2
 
Xenoblade Chronicles.

xenoblade_chronicles_18.jpg
 
Metroid Prime gave me a really immersive feeling of being alone. The music was atmospheric and at times scary.
Super Mario 64 also gave me a wonder of being in a huge playground.
 
Yakuza (5 especially. Some of the new cities are really cozy at night)
Nier
Super Mario Sunshine (the worlds felt like extensions of the hub world itself. Gave it a nice consistency)
Way of the Samurai
Shadow of the Colossus
 
Termina - Majora's Mask.

A really well-realized, well-thought out world that is enriched by a great set of characters. Everything is dripping with theme and dread. Giant falling moon can be seen from anywhere.

Just great stuff.

One of the reasons Majoras Mask is my absolute favorite Zelda. The world is absolutely alive.

I really got into Fallout 3 and New Vegas.
Haven't played NV, but I played Fallout 3 and Skyrim so much for that reason.

Metroid Prime
Deus Ex HR
Final Fantasy XII

I also agree with these ones (the others I haven't played yet).
Especially Final Fantasy XII. So many details everywhere, lots of very specific events, monsters roaming around, huge cities with a ton of characters in each, the massive in-game encyclopedia and a complete focus on exploration.
And I was so immersed in Deus Ex:HR that the hostages died because I spent 90 minutes exploring every single inch of the Headquarter.
And the world of Metroid Prime was so carefully crafted, it feels like they really thought out every single enemy placement or room.
 
Dark/Demons Souls
Fallout: New Vegas
Shadow of the Colossus
Bioshock
Dead Space 1

Edit: forgot about Morrowind and Stalker :)
 
Arkham Asylum
Carcer City in Manhunt
San Fierro (in particular) in GTA:SA
Liberty City in GTA3
Boletaria in Demon's Souls
Rapture in Bioshock
The world in Shadow of the Colossus
The cities in Deus Ex: HR
The various places in The Last of Us
 
Shadow of the colossus/Ico

Arkham city

Deus ex: human revolution

Psychonauts

Metal gear solid 3

Souls games

Okami

Journey

These also happen to be some of my favourite games. Games that focus almost primarily on gameplay( Mario, Zelda etc) are less appealing to me. I like interesting and unique worlds that suck you in. If the world isn't convincing or intriguing then the game starts to bore me, unless it has really really good gameplay mechanics and doesn't get stale. Or if it's a sports game or something of the sort.
 
Lost Odyssey's game world was interesting to take part in because the culture and custom of different countries and cities had an ethnic feel to them. I wish Mistwalker would develop a sequel to that. It's much-deserved.
 
Definitely World of Warcraft back in the day. I wasted so many days of played time just enjoying the scenery, exploring. Also, the elder scrolls world.
 
The dual worlds of Mikado and Tokyo in SMT IV. There's a wonderful amount of attention to detail, and the world building is some of the best I've seen in years.
 
A game's level of immersion is entirely dependent on its sound design for me.

A couple examples of non-immersive audio design would be the Gran Turismo series and Half-Life 2 surprisingly.

HL2 being played with a pair of quality headphones is just so cold and non-enveloping sounding. I feel as if the world is in front of me rather than around me. I don't get that warm, immersive, intimate feeling that I get with Dishonored. It's very hard to put into words.
 
Fez - had me completely hooked and it's so nice to go back to and wander around. Its obviously not very realistic though...
 
Amnesia
Planescape Torment
Shadow of the Colossus
Final Fantasy IX
Diablo 1/2
Starcraft
Xenoblade
Xenogears
Silent Hill 1/2
Skies of Arcadia
 
The Last of Us
Demons Souls
Elder Scrolls Oblivion/Skryim
Deus Ex HR
Heavy Rain

I find those games super immersive.

D'oh, forgot about Journey and Flower.
 
The Last of Us

Very few movies or books get me emotionally invested in the characters. No game ever had until TLOU. I was immersed in that world, cared about the characters and their journey.
 
The less I see of the clockwork behind the game (ie. Stats, Health bars, mission markers, points, etc.) the more immerse I find a game, interesting/unique environment helps a lot as well....a lot of games this gen really excelled in this aspect too many to mention...but some stand outs

Dead Space- Easily the best and most clever UI this gen
Journey/Flower- Self explanatory
Bioshock 1 and Infinite- Created the most absorbing environment and societies
Half-Life and Portal series- LONG LIVE THE SINGLEPLAYER VALVE GAMES!
Mafia 2- great believable setting
Darksiders 1- Unique story and setting
Psychonauts- Great setting and characters
Shadow of the Colossus

I firmly believe the further from current day setting and reality the more immersive a game is
 
Ivallice. I know more about Ivallice than of real countries. It helped that the world is featured in many games and in every single one you're given so much details about it that you feel as if it's almost real.
 
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