Hmm, going from the most recent backwards it would be:
Portal 2
Borderlands
Mass Effect 2
Mirror's Edge
Mass Effect
Half Life 2 - Episode 2
... That's the lot since 2007.
Multiplayer would be Moviebattles II mod for jedi academy, every now and then - which I've since given up thankfully. Too much of a waste of time.
Borderlands similarly - I'd call it more of an addiction rather than immersion.
The most immersive out of that list would be mass effect (1).
I tried Bioshock last month for quite a few hours, but was really put off by the narrow FOV
(plus the Big Daddy's are scary! ), and sort of gave up on it.