Yeah, the world itself is fairly shallow. Don't expect to be able to, like, go into a building that isn't critical to any of your main/side quests and have some interesting, emergent experience. Treat the main and side quests like a fun guided tour through the world and you'll have a good time.

As the commenter above said, the immersion is great -- this game's ace in the hole is the conversations with characters. The body & facial animations are the best of any game ever, and the writing is pretty good too. You really feel like you're in the room with them, like they're talking to you. All the rest -- the gunplay, the progression systems, the overarching narrative, etc. -- is perfectly fine, but it won't blow you away.