It's amazing how much additional immersion you can get just from some vibrations though. I once saw a demo of a device that uses an array of ultrasonic speakers to create a 3-d haptic "display". You put your hand over the array and you can "feel" a virtual object. The sensation is odd, since there's no actual resistance, just a sensation. So it ends up feeling like you're holding some really light and delicate object. Like an ultralight gel.
We're not quite there yet on VR and I suspect this thing won't exactly fly off the shelves but it definitely has potential.