Playing so many games this gen I am starting to see new trends. With these amazing graphics gaming is getting more and more immersive, some games creating these settings that I feel will be remembered for a long time in gaming history. Some games seem to have taken a certain template and used it, with it I am convinced that even you can make am immersive quality action game (if you had money, and could program, and had huge dev team working for you.)
Step 1: Choose one large location that is isolated from the rest of the world. Make sure it's a location that is interesting enough to hold an entire game.
For instance Rapture in Bioshock
The Ishimura in Dead Space
Or Arkham Asylum in Batman
Step 2: The game should progress as you move from one section of the location to another, this allows for good pacing as you never get bored of the one setting.
Step 3: Your hero should slowly upgrade his powers or ability throughout the game.
Step 4: Make sure the main villain is constantly talking to the main character through a comm unit or speaker. Why does the main character have a comm unit, who cares. How did the villain get into that comm line, doesn't matter.
"Would you kindly?" "Would you kindly?" Blah blah blah
"We must all embrase our new mutations!" Blah blah blah
"HA HA HA HA HA HA!" Well he is awesome so he can talk as much as he wants.
Step 5: This is by far the most important step, without it you might as well kiss your game goodbye. It MUST have a botanical garden. Why the fuck is there a garden on a prison, does not matter, it needs to be there cause all immersive games need a damn garden.
So follow these simple steps and even you can have a AAA title.
In terms of the large location isolated from the rest of the world I'd argue that Yakuza and Shenmue did the same (as do many RPGs) which is why they share that level of immersion.
For me games aren't more immersive at all. If anything they're a tad less because so many are taking less risks, and it's harder in some ways to be immersed in something if you've done it before in a different coat of paint.
It's hard for me to be immersed into a game world when I see these lifebars, mini-maps, and ammo gauges on screen all the time. Thankfully, I really don't care about being immersed in a game.
But I think it depends on how well a game is designed. Even a simple 2D game can be immersive. Like Super Metroid. One of the best games that created and amazing atmosphere and immersion.