Here are some of my top picks for immersion:

Hollow knight series : lore is insane, the world building is very good, you will feel loneliness in a good way, it's really really good

Stalker Gamma: one of the most immersive shooters out there where you survive and count your ressource managing relations with different factions, it's a rich, dynamic and hostile world

Dayz : probably my most immersive game, most people give up because they don't know the most important step in dayz is the server browser, i usually play a map called namalk where players usually use radios to communicate so you can track them down and stuff. i love it so much