I'm a big fan of open world for immersion. Oblivion when it came out, GTA SA and 5, RDR2.
But something that surprised me about immersion was Cataclysm DDA (with good tile and sound packs). It takes a long time to get into the groove of the game as a first timer, but once you do, the emergent stories that come out of it are incredibly immersive.
In SA it's different!