When you walk under dripping water in FPSes, and the water shows on your display. Always loved that, and really adds a sense of immersion for me.
I can only think of one game that did this ("Rage") but I loved this tiny little detail. In the game, whenever your character gets a new weapon, he inspects it, adjusts the sights, checks his magazine for rounds, basically checks the weapon out. Don't know why, but I found that this really enhanced my immersion in the game, I guess because I'd do the same thing in real life, instead of just picking up a weapon and running into combat with it. It also makes getting each new weapon feel like a significant part of the game, instead of simply "oh here's another gun, keep moving".
) From graffiti on the walls to the physics of the foliage to windy dust effects to little bunnies and cats scurrying around along the roads to deers reacting to your presence in the hills while planes are flying overhead leaving realistic trails. Now this all might not sound very special but note that this all takes place in such exquisite detail that even the hairs of the cat seem independently rendered. This game is an absolute masterpiece of videogame engineering, art design and asset creation. 
