[Angrist]

The most important thing for me is gameplay. When I think of the games that immersed me, I realize they all had awesome gameplay.
After that, it would have to be story. Then graphics I guess. And sound plays a role.

Games that immersed me:
Most Zeldas.
Warcraft 2 & 3
Starcraft
World of Warcraft
The Metroid Primes
Golden Eye & Perfect Dark (not so much though)
Aliens vs Predator
Morrowind (I guess)
Myth I & II

Hm, looking at that list, maybe an even bigger factor is atmosphere. A game needs the right mood. Dark and scary like in AvP, or green and mythic as in the Warcrafts. It needs the right lighting, the right dialogue, the right tension.