Myst was the first really immersive game I remember playing and thinking "I feel like I'm actually a part of this world". I was a bit too young to really grasp how to play it but that didn't stop me clicking around just exploring because the game (for its time) was just so beautiful and engaging despite the graphical limitations at the time.
For those looking for a Myst nostalgia trip: https://www.youtube.com/watch?v=DtO4E3cIn0w