STALKER.
Kind of stealing Tain's reasoning for Dark Souls, but part of what makes STALKER so immersive is the ever-present sense of danger. The Zone is a pretty fucking treacherous place, so you'll always need to keep an eye out for threats. It's intense. Your eyes glued to the screen at all times.
The moody environments and ambient noise create a very well defined sense of place. When I think of immersion, I think of escapism - being able to lose myself in some virtual world, and STALKER's take on Chernobyl pulls it off.
As an open world game without much narrative, there are very few 'gamey' elements or story related interruptions to break the immersion. Shit like unskippable cutscenes and set pieces or MISSION COMPLETE type screens are total immersion killers.
Good shit. Far Cry 2 had a similar effect on me, but to a lesser degree, since it lacked STALKER's sense of tension.