i'm not sure what the first thing that made me feel truly immersed was. but i know star wars was my favorite for a long, long, long time...

i don't usually admit it but i can still get totally immersed in that world. i actually really enjoy immersion. i think a lot of people our age (20's) look down upon it because it could seem childish. it's a vulnerability. but it's such an honest thing, i love that feeling of being a complete noob and totally immersed.
but if you're looking for a really immersive book you could check out one of these, which are probably my favorites:
parable of the sower by octavia butler
baron in the trees by italo calvino (which is a book about immersion actually)
waiting for the barbarians by j.m. coetzee
those three book completely draw me into them and i end up reading them the whole day.