If you haven't yet, try Subnautica. For anyone who hasn't heard about it, it's an underwater open-world exploration/crafting game. The 3D exploration is something you don't usually get in other open-world games.
STALKER SOC and COP are incredibly immersive, especially when just exploring around and looking to make a little side money. The world is so apathetic to your existence. It’s terrifying how fragile you are. Going through the woods and hearing or thinking you hear the sound of some mutant is paranoia inducing.
Multiplayer, but Rising Storm 2: Vietnam has had some hugely immersive moments especially with active commanders and squad leader chatting. One of my most vivid memories is attempting to assault a Vietnamese position but our commander had mistakenly calling in napalm too close and ended up taking out our own side. I just barely escaped the flames but saw many other troops die with NPCs screams. Over the chat somebody brilliantly recited, “That fucked up fire mission got a lot of good men killed, sir.” Perfect.
I'd add the Zelda games too, especially TOTK. They're not quite as immersive but TOTK has a great focus on fun and creativity, although the balancing drops off badly in the mid-late game as the late-game armour upgrades are really OP.
Then there's System Shock, Prey, Bioshock, etc. even Alien: Isolation to some extent, but I don't like those games that never give you time to rest and do some non-combat stuff.
Hellish Quart is i fighting game heavily inspired by hema (historical European martial arts). The different fighting styles of the characters are all inspired from old manuscripts and stuff. It's great and you can play it on steam remote play together so you only need one person to have it to play with friends.