How the hell does the world in this game feel more immersive than pretty much anything with current gen graphics, including the first BioShock? I have a few theories.
BioShock has almost exactly the same gameplay mechanics and its world is at least as well-realized. I think a big reason is because BioShock's "gamey" elements are very much highlighted, while absolutely everything you see in SS2, even the HUD, is written into the universe somehow. Another theory has to do with graphical detail: SS2 is obviously a much less-detailed game visually, but on the other hand you can interact with nearly everything you see, making the environment feel that much more believable. BioShock's environments are much denser and more detailed, but they're filled with a bunch of crap you can't touch. Most importantly though, SS2's areas feel like real lived-in places while BioShock's feel like video game levels. Navigating SS2 actually requires the player to think as if the Von Braun was a place where people used to live and work.
I feel the exact same differences between the original Deus Ex and Human Revolution. Human Revolution is an excellent game that extols the virtues of the IP, but in that game I still feel like I'm running around video game levels as opposed to DX1's areas which felt "believable," though the effect isn't quite as strong as in BioShock.
I think the main difference between the old games and the newer ones is their "RPG-ness." SS2 is an RPG with FPS elements, BioShock is an FPS with RPG elements. Deus Ex 1 is an RPG with FPS (and stealth game) elements, Human Revolution is first person action game (choice between stealth and shooting) with RPG elements. It's not just the core game mechanics either. I think the approach of designing and RPG as opposed to designing a straight action game informs how a game's environments are laid out. BioShock's environments feel like they were laid out as FPS levels, Human Revolution's environments honestly feel like they would fit in Metal Gear Solid 2. Many of DX1's areas feel like RPG towns or inhabited dungeons. SS2 feels like you're investigating the ruins of a really big RPG city.
Another reason I think being an RPG is a bigger difference is because the only current generation games I've played that come sort of close to SS2's or DX1's immersion are games like Fallout, Skyrim, and possibly Demon's Souls (though for different reasons). Say whatever you want about Bethesda's recent games, but they are still clearly making RPGs. The land of Skyrim still has that deep level of interactivity and isn't designed like a bunch of action game levels. In fact, in terms of pacing and the feel of the gameplay, SS2 probably feels closer to Fallout than to BioShock.
I throw Demon's Souls in there because while it's a completely different kind of game, it takes a similar level of care in promoting suspension of disbelief. It embraces its video game mechanics, but does so by writing a story and world perfectly around them instead of the other way around.