So I've been playing GTA V for about three weeks now, and I gotta say, it's pretty damn immersive. I spend a lot of my time just wandering around the city and the countryside, driving up and down the coasts, taking in all the local scenery and its inhabitants. I still haven't gone to see a movie, or hung out with the other characters, and there are still a handful of blank spots on the map. So far, it's one of the most impressive in-game environments I've encountered, though not my favorite; that honor still goes to Red Dead Redemption, which is on my shortlist of best games of the current and soon to be former generation.
The last few years have been great for truly immersive environments, whether in MMORPGs or single-player games. But for me, the most believable and Matrix-like of these games is probably still Sega's Shenmue, released on the Dreamcast in 2000. It's not as big or as unbounded as some of the stuff that came later in the same decade, like GTA: San Andreas or Oblivion, and despite the martial arts plot, it's nowhere near as action oriented, but the Japanese port city in the game still feels to me like a real place. At first you can only venture beyond your family's compound to the adjoining neighborhood, with its convenience store and small parks, but gradually you can venture off to the less-savory districts of town, and take a job in a nearby cargo facility. The whole thing feels less like a straight video game, and more of a metaphor for becoming an adult and moving on with your life; at times you forget the whole point of the game is to find the men who murdered your father and recover the magical artifact they stole from your family. There isn't even a lot of action, and the game encourages exploration and virtual tourism, whether it's playing vintage arcade games like Space Harrier and Hang On (the game is set in 1986-87, so they're brand new), or collecting capsule toys from vending machines. (Just make sure you're always back home by nightfall, because your granny worries about you.) You also befriend a homeless kitty.
Nobody really seemed to get Shenmue, beyond the critics and fans. It inspired one sequel, but cost Sega a ton of money, and didn't save the Dreamcast from obsolescence. But a year later, a lot of the same mechanics showed up in GTA III — though in this case they were tied to an exciting action-based game with lots of explosions and car crashes.
So what was the first game that you found to be really immersive? And what modern games have the deepest, most involving worlds?