Fallout
Exit of the Vault 13's cave: "You see a natural light. For the first time in your life, you are looking at the outside world". Now THAT was imersion, Bethesda.
Raider's camp, Junktown & Necropolis: these are the places that feel more Mad Max in Fallout; strongest PA experience.
Lost Hills Bunker: Entering the BoS bunker for the first time is a unique experience; after dwelling so much in the harsh wasteland, discovering that there's still more of the pre-war civilization than just the vault was the coolest of cool. The sound here is fantastic too, that siren...
The Glow: no need for too much comments, right? It's gold - would be platinum if it were more dangerous, had more robots, etc.
Fallout 2
Vault 13: man, when I finally saw that big door, I just felt like I was back home after a loooong time away. Actually, it's a unique feeling I can't explain, thought I believe most people here felt it, too.
San Francisco: "Wtf! The chinese really invaded?! Omg!" That's how I felt when I got here; I expected everything except chinese! Love the lpace, by the way.
Sierra Army Depot: same as The Glow, a pity it has no radiation and aliens (UFO aliens, like the ones hinted by the bodies in detention level).
Final Fantasy 7
Cosmo Canyon: the place is magic somehow, the music is great. More specifically, the Planetarium where Buggenhagen shows the true nature of the planet and the Lifestream, it's a priceless scene - I'd seel my right kidney (it's not working 100% anyway
) for a next-gen remake of FF7 specifically for this area. But the whole game is worth this bugged kidney, hahaha.
Half-Life 2
Ravenholm: the place is made of win, I didn't fell such tension even in Resident Evil/Alone in the Dark/Silent Hill.
Diablo 2
Baal's Tomb: when I first saw Tyrael I held my breath for a second, it was amazing to see those glowing wings. Also, I was playing with a paladin, so the encounter was even more rewarding for the faithfull warrior of the light.
The last chat with Deckard Cain in the Pandemonium Fortress: I was being hard-kicked in the ass by Diablo, and when I was almost giving up, he spoke to me: "Diablo's greatest weapon is terror! Resist his might and put an end to him for good!" That moment I got as inspired as when I saw Tyrael in Baal's tomb, and charged Diablo with blind zeal, fearing no more. It's true he kept kicking my ass, but I managed to kill him as well.
Overall, the Pandemonium Fortress is a cool area, "the border between Heaven and Hell", as Deckard says.