Cyberpunk 2077. It had a lot to build on with the IP being decades old with a lot of worldbuilding done already. Such a huge, intricate, and alive world. My first playthrough took 200 hours just from exploration, and there's a TON i never got to. Over 1k hours later, there's still connections i haven't made, secrets i haven't found. I honestly haven't found a more immersive game for me.

Runner up: Red Dead Redemption 2. Again, the world is so alive and detailed that my immersion goes off the charts. Another 200hr first playthrough. NPCs have lives and schedules, the voice acting is fantastic, and the overall world building is immaculate. Tiny details that 0.01% of players would ever notice are carefully constructed (Lemat cartridges, looking at you). Wildlife interacts realistically with other wildlife and other stimuli. Cats in cities will search for, find, and hunt mice. I never fast traveled because just riding across the landscape and looking around was a better time. Could not recommend more highly, but watching or playing the first one first is advised.