Immersion is something that is most relevant in RPG. Without immersion you don't really care about the choices you make, you will always make decisions which result for the least amount of hassle. RPG's are all about living through the protagonist's perspective or being yourself the protagonist.
If you're decisions correspond with how you would actually decide, you have a good immersion. So that you just couldn't make evil choice and it would feel bad for you or vice versa. Or that you can roleplay evil character and really throw yourself into it, like acting a part in a play.
Most interesting thing is that you can find new sides from yourself. You rarely in real life come across to situations where you literally hold somebodys life in your palms. But in video games it's possible. You may find that you're indeed a sadist in reality or something worse - though of course the game makes you feel that you get away with it. Do be careful if you ever come across in real life to a certain ring.