One of my favorite gaming moments was my first time running through Duskwood on my level 15 priest, absolutely terrified of the spiders lurking just off the road. When one came at me from the right of the screen I was so immersed that it wasn't my character being attacked, it was me; I shoved myself so hard into the left side of my chair I almost tipped it over!
And I wasn't just playing a video game when I ended the menace of Stalvan Mistmantle, re-buried Stitches, or stopped the evil Morbent Fel. I felt as if I had accomplished something, and that the residents of the Eastern Kingdoms were safer for my heroic actions.
It's good that I've been able to disassociate myself from my characters over the years...but damned if it wasn't fun back in the day :-)