Speaking as a player, immersion happens when what the GM is saying does not force me to ignore inhabiting - "being" - my character.I'm going to go out on a limb here, but in my experience as a GM, player immersion seems to happen when evocative detail and constant evolution of the fiction are the name of the game.
The paradigm of this is the plot hook or the "breadcrumb". Because that requires me to think purely as a participant in the game - OK, at this moment it's my job to decide that I as my character make this choice in order for the game to keep going