The problem is, how do WE as GMs get players IMMERSED and CHALLENGED?
Two things I find do wonders in terms of immersion are 1) little details and 2) beginning the game by defining (and relying on) interpersonal relationships.
As an example, an opening I'm working on for a campaign that will probably begin next week.
The acolyte comes before the paladin, bows and says, "Her Curiosity will see you now, Your Ignorance." You see, he is a follower of the Goddess of knowledge and secrets, patroness of magic users. More specifically, he is a very recently ordained member of the Order of the Speechless. As such, he is very proud of the title, 'Your Ignorance', because of course learning your own ignorance is the first major step on the road to wisdom.
What follows wouldn't be called a conversation by most people, because of course neither of them actually speak. Her Curiosity certainly won't, as her tongue was removed in the ritual wherein she was elevated to her current station. His Ignorance is still a newly ordained paladin, he still has his tongue because he is still learning the discipline of
not using it. Nonetheless, they communicate in their own way, and he is given the task of attempting to find out why the giant ants known to live south of the borders are apparently shifting range north. They're only giant ants, no more than a nuisance most times, but there seem to be such a lot of them lately. If the local farmers and ranchers have to spend too much time dealing with them, harvest will be short this year. And of course, if something is driving them out of their normal range, it would be nice to know what that is before it comes
here.Being a comparatively minor mission, the church is naturally unwilling to devote serious resources to it. He is allowed to enlist companions, but pledging services, or better yet, calling in favors already owed, is preferable to draining church coffers. Perhaps that young mage we found out in that little country town, he should be anxious to work off part of his debt to us for having taught him to cast spells. Or that druid we taught those spells to, he might make a good guide. That young thug around town who has been trying to talk us into teaching him a few spells for months now, he'd certainly be willing enough to have us owe him some instruction, no?
He will doubtless be far from town, and will have companions uninitiated in the Mysteries of Silence, so he is given permission to speak
if necessary to the success of his mission. But of course it will be a disappointment if he actually uses that permission, and a point in his favor if he can achieve success without needing it.
See? Little details of the culture and your place in it, such as religious titles and duties, and their interaction with lay people. Background things that tie the characters to one another, such as the fact that the mage and the druid are both already indebted to the church, and the rogue
would like to be. Such things not only make the setting more "real" for the players, they also provide reasons for the characters to
choose to go where the GM is trying to send them, making them less likely to get bored and go haring off in a direction the GM didn't plan for.
Most players dislike being 'railroaded', and with good reason. But if you set up the details and the interpersonal relationships correctly, often the players will railroad themselves, as it would be out of character not to.
