Title says it all.
What Immerses you into an FPS game?
Depends on the sub genre, there are the arcade style FPS like Serious Sam that keeps you immersed by mixing up the combinations of enemies and throwing in the odd puzzle and there are tactical narrative driven experiences like almost any of the modern shooters that use the pacing of story telling to keep you buried in the killing without losing your taste for it. Many decent shooters mix these elements. In the case of a zombie shooter its more the Serious Sam style of play. Arma goes another direction by keeping you busy with tactical and strategic focus, taking the player away from the gun just long enough to make them think they understand the battlefield. Elder scrolls could technically be considered a FPRPG but it deserves to be mentioned that other genres can be married to the genre to immerse gamers as well.
Brown colour palettes, macho characters that swear too much, first-person cut-scenes, quick-time-events and tonnes of dirt and blood on my camera lens.
Yes, just kidding 
Fluid or realistic motion of your character always makes me feel much more connected to the character.
I love in the Arma games that you can independently move your head and your gun -- your mouse will just move your gun until it's moved to some (configurable) threshold value, and then your character's body starts to turn. Also, you can hold alt to just turn your character's head without turning their body. If you're really into it and own a TrackIR (or use free-track), then that increases immersion immensely, as after a while your own head/neck become a direct game peripheral linked to your in-game head/neck.
After playing Arma too much, now when I play other games, I instinctively jerk my head to the side by a few degrees to check my periphery and for a moment wonder why my in-game camera didn't rotate, it's become that natural 
I wish every FPS supported these devices...
Arma also breaks from FPS tradition of the first-person weapon being drawn over the scene at the end, and instead your entire 3rd-person body is visible in 1st-person mode -- your arms/gun/legs/chest are visible to yourself exactly the same way that they're visible to others. It always annoys me in a regular shooter, say Counter-Strike, where you think you're hidden behind that crate, but to other people, your gun is sticking out around the corner -- there's no way for you to know, because your 1st person view of yourself is completely different to the 3rd person view of yourself that others see, so you never really feel fully connected to the environment.
Unfortunately many of Arma's other animations are really poor and jerky, like jumping over fences, changing stances, or reloading, which all make you feel very disconnected from your character...
Other examples of fluid movement that I love are FarCry 2's crouch-slides, or BF3's vaulting of obstacles -- when you sprint at a concrete barrier and jump over it, you actually see your character place his hand on top of it and see your legs swing over. The camera also bobs the right amount to make you feel like you're actually connected to the world and the character.
Sound weird, but the story.
A good story built around a solid FPS engine is great for me. Kind of lots of places to explore, traps, tricks, quests, and more.
Sound weird, but the story.
A good story built around a solid FPS engine is great for me. Kind of lots of places to explore, traps, tricks, quests, and more.
This. My favorite FPS games are all ones which had a strong story and interesting characters. If you combine that with some interesting gameplay (such as Half-Life 2's Gravity Gun), you have a winner.
Controls, the visible interface and consistency are the things that stick out to me most. If I can't make my character do what I want, or if I find my self frustrated with the HUD, or unable to find what I want on the HUD, I'll immediately lose immersion.
Other than that, immersion is all about consistency, if things behave in a consistent way then the game will be immersive, this is true of both game mechanics, and story elements.
Mechanics should be consistent.
If blue keys open blue doors, and I need to get though a blue door, then their better be a blue key around somewhere; if not, then the game needs to explicitly explain the inconsistency though character dialog or some other kind of notification. For example, tell me that we're not going to get though that door, of present an alternate objective that will allow passage.
And Art should be consistent.
IMO realism has the opposite effect toward immersion regarding this, the more realistic the game is, the more things will stick out when something is slightly less realistic(as we cannot make everything look exactly like reality).
Other than that, immersion is all about consistency, if things behave in a consistent way then the game will be immersive, this is true of both game mechanics, and story elements.
Mechanics should be consistent.
If blue keys open blue doors, and I need to get though a blue door, then their better be a blue key around somewhere; if not, then the game needs to explicitly explain the inconsistency though character dialog or some other kind of notification. For example, tell me that we're not going to get though that door, of present an alternate objective that will allow passage.
And Art should be consistent.
IMO realism has the opposite effect toward immersion regarding this, the more realistic the game is, the more things will stick out when something is slightly less realistic(as we cannot make everything look exactly like reality).
That's why I think the game genres are wrong, you don't categorise movies by the camera ("closeup of two people kissing"). The reason why you enjoy portal is a whole different one than why you play Call of Duty even though they are considered to be in the same genre.
So how do you make a game engaging? That's a broad enough question to only get broad answers and I am not sure I even have those.
My take on it would be first to decide about the main reason why people play the game. CO-Op experience, story telling, competition, challenge, exploration...
Then I would invest a lot of time in the underlying theme of the game. With what question should the player be left after he finished the game, what feelings should he explore while playing?
So how do you make a game engaging? That's a broad enough question to only get broad answers and I am not sure I even have those.
My take on it would be first to decide about the main reason why people play the game. CO-Op experience, story telling, competition, challenge, exploration...
Then I would invest a lot of time in the underlying theme of the game. With what question should the player be left after he finished the game, what feelings should he explore while playing?
Audio.
The most immersive FPS game I can remember playing was System Shock 2, and I think the biggest part of that was the absolutely fantastic audio in the game. 
I would have to say a mix of story and atmosphere.
One of my favourite classics from the 2000's era was Call of Cthulhu: Dark Corners of the Earth. The game suffered a botched PC port which had some nasty bugs in it, but when the game ran stable, I can't think of anything else that really immersed me more. It really sets a dark, sombre, long-time-ago tone and it holds you in there for however long it takes you to get through the game. I think that's one of the things that also made Half-Life and Deus Ex so magical. They had these unique environments with just the right kinds of colours, characters, and story etc and as a result it really drags you in, starts to get you believing in this beautiful non-existent place.
Story and characters also plays a huge role. If you get emotionally in touch with the characters and their emotional plights (Half-Life 2 etc, and although it's not really an FPS, a game like Mass Effect would set a great standard for characters), it really helps bring you into the world. It makes you want to really visit that place! Even if it doesn't exist. You want to visit that place, you want it to be real, and to be that protagonist, interact with those people, characters, and explore this world which seems to be so well thought out that it could almost exist. I guess the more thought that goes into making it seem believable or just beautiful, really seems to help create a more believable experience, and combined with the right art style, can create incredible immersion.
Sound design and music, ambiance also plays a huge role. I guess in the end, pretty much every aspect of games design (the models, animations, sound design, music design, story, characters, locations, even the engine itself) all play vital roles in making an immersive experience.
Honestly? Walking.
I've noticed games that have pretty long segments of no shooting tend to be the most immersive. Half Life 2 and Halo:CE I have good memories of just wandering around for a little bit experiencing the world without being distracted by things trying to kill me like clockwork every 30 seconds.
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