Oblivion for me, definitely. I decided to do the whole Dark Brotherhood-quest line without fast traveling or using the 'fast wait' thing. So if my target required night, I hired a room at the nearest inn.
It was so immersive that for a second I totally forgot I wasn't in fact a Khajit Assassin. Then, I came crashing back to reality when someone outside decided to scream at the top of his/her lungs.