Immersive FPS's... Hmm, let's see;
The Battlefield: Bad Company series has a great campaign with good humor; I'd say is one of the most likeable campaigns in military shooters.
Medal of Honor (Original series) is great in immersion and is a good military shooter campaign as well.
Borderlands if you enjoy that type of game, Borderlands 1, 2, and The Pre Sequel are all amazing.
S.T.A.L.K.E.R. is a great, atmospheric survival horror shooter.
The Darkness 1 & 2 (Hey, comic-based :D) are fun and immersive in both story and gameplay
Planetside 2's huge world is immersive and an awesome multiplayer experience
Crysis 2 & 3 are great in story and multiplayer, majorly story, though the multiplayer has little to no traffic since people buy it almost solely for the story.
You haven't mentioned this, but have you played Metro: 2033 yet?
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