I just don't know if anything can compare with the experience of reading a good book. In terms of sheer immersion, certainly little does. Yes, there are activities that approximate or approach the sensation, like when I was playing Civilization II yesterday and the Romans launched a surprise attack on my horsemen outside Satsuma and in response I built a fleet of triremes and loaded them with legionaries and swept through Caeum and Antium and claimed them in the name of the Shogun and built forts along the road to Rome before suing for a particularly delicious peace. But as you can see, the aforementioned event was exciting because it approximated an exciting narrative. It was a particularly great piece of gaming because it seemed like it was part of a story. But games aren't really stories, not usually, and the ones that are are usually terrible (cf. Diablo III). But books are.
I just finished reading "China Mountain Zhang" by Maureen F. McHugh. Oh boy was it good. It takes place in something like the 23rd century, and China is the dominant world power. The United States has experienced a socialist revolution (after the "Second Depression" of "the early 21st century"--this being written in 1992 makes McHugh seem terribly prescient) and Mars has been colonized. People "jack" into computer systems for fun and profit. In short, classic near-future SF.
However, despite the fact that the science fictional conceits are really great, "China Mountain Zhang" is mostly good because it is a really interesting character story. No guns go off in this book, nor are there spaceships, and even the futurism is incredibly muted. In fact, I found that this book had enormous "sensawunda" precisely because all the wonderful stuff was so muted. To wit: "pressball" is an underground game in which players bat around some balls and try to capture some while avoiding others. Capturing the good balls gives pleasure and being hit with a bad ball causes discomfort. And... and that's it, that's pressball. Conversely, Azad--the game played in Iain M. Banks' "The Player of Games"--is for all intents and purposes ineffable. And, although "The Player of Games" is a great book, the game in question stirred considerably less wonder in me than did pressball. McHugh's subtlety gives enormous flavour to her world.
That finished, I'm now into Haruki Murakami's "The Wind-up Bird Chronicle." I got this on 7-day "express" loan from the library, which charges two dollars a day in late fees, and I was a little worried at first because that basically means I have to read 85 pages a day. No longer, though. "The Wind-up Bird Chronicle" is insanely devourable. It is again the subtlety, and the clarity of prose, that make this book so readable. And it is super enjoyable. Easy-readability is obviously not the only quality I look for in books--I'd have never read Michael Cisco if that was the case--but easy-readability is definitely pleasurable. It's like being dropped into a warm bath of primordial goo.