First thoughts

Dirty textures, dark mood built by lighting and

creepy ambient sounds make Arx Fatalis one of the best

games in terms of atmosphere

When I think about immersion, first title that comes in mind is Arx Fatalis. Achieved due to dark, claustrophobic mood of underground dwellings, illusion of living societies, creepy ambient sounds - it all makes Arx Fatalis one of the best games I played in terms of player immersion.

No, you cannot ride horses in Dark Messiah.
It's only for the cutscene

There are few gameplay elements that in my opinion make Arx even better than its spiritual successor, Dark Messiah of Might and Magic, basically being the "RPG elements". Little things, like ability to cook over a fire, or to organize your belongings the way you want, or just the nice textures and icons - attention to detail, lacking in later titles.

So, when talking about Arx Fatalis, it's important to name older game series, which affected later game development greatly - Ultima Underworld I and II

Ultima Underworld II, where underground world

filled with its dwellers make
the perfect (pixelated) feel

Again, we have dark and sinister mood, achieved partially by setting the game plot deep underground. The same works for Metro:2033, also set mainly in the undergrounds of Moskow's Metro tunnels...

First Metro game, based on Dmitry Glukhovsky's novels,

though short and linear, it got players hooked up

with the story and dark atmosphere

Interestingly enough, I was not so immersed playing the sequel, Metro: Last Light. It might be because of the "artificiality" of gameplay, like, you have to stay and listen to all this dialogue. No freedom = less immersion. This topic was raised also on the Astronauts' blog (makers of The Vanishing of Ethan Carter game, which, estimating from their posts and screenshots, could be the best title in case of immersion ever) The Astronauts Blog

The Vanishing of Ethan Carter. The Polish team is putting
so much effort in polishing the details - thing we don't
see in the game production nowadays

So the conclusion for now is, that horror-like setting raises the feeling of immersion. But is it the only way?