I have to say from recent times Mass Effect is one of the best/most immerse? games. It's like its own Star Trek episode, spanning 40+ hours (first time took me 42 hours IIRC).
On PC i would tell Far Cry 2 the game is simply amazing... I really like the fact that you can destroy each branch from a tree one by one or how the climate and time change affects the gameplay... There's also Call OF Duty 4 and Assassin's Creed with an Awesome Gameplay and Graphic On Console i would definitely tell the Metal Gear Series for Its Gameplay / Story, The Bosses and The Weapons... There's also the Grand Turismo Series, and Devil May Cry Series there are lot but i dont want to tell them all
For me it was Fallout 2, I was absorbed for weeks. The first Unreal was impressive. Oh, and Aliens vs. Predator, too. Ahh, good old days... I never liked Bethesda's games much, don't know why. More recently, I really enjoyed R6 Vegas.