Emotional-Pretty much my entire playthroughs of Ico and Shadow of the Colossus.
Saddest-The ending of MGS3, HL2: EP 2, and while the ending to Shadow of the Colossus isn't sad, it was extremely moving.
Most Immerssive-System Shock 2, Ico, Shadow of the Colossus, Morrowind, Fallout 1,2 and 3, Silent Hill 2, Killer7, Beyond Good and Evil, KOTOR, Bioshock, Mass Effect, Theif 2, and Assassin's Creed
Greatest-
Dead Rising: Killing a zombie with a bowling ball, bench press, TV, broad sword, battle axe, dinner plate, CD case, the Real Mega Buster, or with your bare hands.
Saint's Row 2: Dressing as a pink ninja and armed with a chainsaw and duel uzis while tackling a mission where you storm a nuclear power plant to steal hazardous waste in order to inject it into a dude's face!
Ico /Braid /Portal /Zack and Wiki: Solving a a really challenging puzzle without any form of help leaves you with a very huge sence of satisfied accomplishment
Shadow of the Colossus: Taking down any of the Colossi.