Any world that provides depth through either content and lore that needs to be discovered or any world that has agents that dynamically interact with each other are sure to be immersive, but only so far as the player is willing to invest themselves.|
Dwarf Fortress does both. Not only is the world procedurally generated but so is its history and the factions. It then goes a step further and then generates more content as you play. Dwarfs will craft and carve depictions of events they've experienced. A deeply traumatised fortress will be full of carvings of all manner of horrific events. Or maybe just images of cats if you suffer a catsplosion.
The Elder Scrolls games (and in turn the recent Fallout games) fill their worlds with lots of little stories and a chunk of discoverable lore. But there's no procedural stuff here and once you've seen all the authored content these worlds seem barren. The shift from a world of potential to one that offers nothing new can be quite sudden and jarring. (Until you start installing mods)
The I most immersive game not yet made would be a mix of Eve, Elder Scrolls, Dwarf Fortress and Minecraft. An auto-generating world, full of factions that react to the world and are driven by dynamic goals, and you in the middle with free agency to do as you will. Join a faction. Live as a hermit. Thieve for a living. Live on the streets and beg. Join an army. Set up a mining operation. Set up a construction operation and bid for contracts. Become a merchant.
For those who need a story arc, there can be AI agent that introduces stressors to the factions. An invading army. A strange disease. A new religion. Drought. A coup. Any one of these will affect your game, directly or indirectly. The AI agent could be tweaked so that it can drive you towards the core of the issue, make your direct involvement an imperative. Or it can just be there to stop the world from becoming too static.
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