I recently worked out why I prefer playing RPGs (Preferably FPS RPGs)
In most titles such as Half-Life or Far Cry or Crysis, you are perscribed a character, with a backstory and a motive and a set fate. This always kills immersion for me, even in Far Cry 2 when you have a selection of characters the overall game is the same regardless.
Fallout 3 is currently my top game and with good reason. After your characters birth you make your own story starting with your name and how you look. From then on things can change dramatically. I am currently playing 2 games in Fallout.
In one, I have created myself, as closely as possible appearance wise, but mostly in the choices I have made so far. As a baby I became intelligent, observative and agile but not overly strong. On my 10th birthday I annoyed Butch (the bully character) and used my wit to get out of a fight. I also thanked everyone for their gifts regardless of how crap they all were. When the shit hit the fan in the vault I helped out everyone I could and used my agility to sneak around or run from the guards so that I didn't have to kill anyone. Since leaving the vault I have been friendly with everyone, even lying occasionally to make them feel better (or for my own benefit. Hey, thats just how I am)
In my other game, I am playing as Crystal, who is pretty much my opposite. Female, attractive and a complete and utter bitch queen. As a baby I trashed my room, throwing toys all over, and made myself very strong, very charismatic and quite stupid. On my 10th birthday I told everyone how crappy their gifts were and got in a fight for calling Butch's mum a drunk. I even got told off for being ungrateful. I then shot my dad in the eye with a BB gun he gave me. When things went loopy I took a bat and smacked the living shit out of everyone, including those asking for help. I would often loot their bodies as well. I got some nice stuff out of it. I also locked a Butch's mom in a room with some radroaches (big fucking cockroaches) who ate her alive whilst I snagged all her booze and killed her son with a security baton. (I wanted his jacket.) Since leaving the Vault I have become addicted to Whiskey. At one point I broke into a woman's house and beat her to death with my fists so that I could get my fix.
Thats what makes Fallout such an immersive game. Imagine how crazy Half-Life would have been if Gordon was a medkit junkie and needed a fix in the middle of a shootout. The tension would have been double what it was. Or if you could make deals with the militia in Far Cry 2 so that they could give you supplies or be called on to help with missions.
Role-Playing is often shunned because of its slow combat mechanics and levelling systems but in my opinion its the best type of game for interativity and a truely immersive experience.
Oh, I also drank from a toilet in a dank and rusty saloon. Got quite sick.
tl;dr? RPG's are the best source of immersive and interactive worlds.