Art design: Games like Prince of Persia 2008, Bioshock, Vanquish, Assassin's Creed, Dishonored, Borderlands etc have unique looks and if the design is cohesive I like it even more.
Music: Can help the immersion. I don't like metal/rock stuff in games like DMC4/Vanquish but the action is frantic enough for me not to pay too much attention to music in those games. But games like Red Dead Redemption ascend a few levels thanks to the incredible setting-tailored music.
Quality Graphics: Definitely important to me. Which is why I don't recommend people to buy games from the generation before they started gaming. Graphics in GT4 and DMC3 were a turn off for me after trying out GT5 prologue and DMC4. Fuck Gran Turismo though.
Voice acting: Mass Effect (1-3) is just ... incredible. Nuff said
Bad dialogue: I'm looking at you Rico (Killzone 2). Seriously, fuck you.
Quick time events: As much as I love Prince of Persia 2008, QTEs were a huge drawback. It takes no skill and feels stupid.
Silent protagonist: I hate, absolutely hate lazy stuff like this with the excuse that people want to project themselves on a character. Fuck that.
Artificial intelligence and bad writing take me out of a game. That's why I often find games where you spend most of the time alone or with very limited interaction with A.I. to be the most immersive. For example Halo:CE and Fallout.