This is a hard topic, because it is pretty variable (to a point) and is up against a pretty steep challenge. To put it simply, this is hard because:

RPGs are one of the hardest art forms to get immersed in.

It’s not impossible, and it can be great when you get there, but it is more of an uphill battle.

Movies, if properly edited and shot, can grab the attention of a viewer and hold it tightly. Books, though they require more mental effort to progress the story, can get very absorbing very quickly (few can claim to have never found a book which interests them by the first page). Video games are a personal and engaging experience with immediate feedback and a presentation which does everything it can to pull the player in.

RPGs are different. There are few visual aids, and when they are there, they are usually more impressive as a miniature tableau as opposed to tools for immersion.

Not everyone has access to complex modular tile sets, or complex lighting setups. Most groups are lucky if they have a GM with two dozen miniatures of random creatures and heroes. Most of the immersion of RPGs is taking the raw elements of human interaction (speaking, storytelling, drawing, etc.) and trying to get immersed with little more.

And honestly, it’s not easy.

Having to keep in mind everything, from your character’s personality and abilities, the location of the action, the larger goal (easier to lose track of than we assume), and when to jump in to contribute, is a task which is incredibly difficult