A few times, usually when I'm all alone at home, I turn off the lights, close the curtains, hook up my PC Creative speakers (oldies, but damn, they sound good) to the console (mono TV sux!), position the speakers very close around me, crank the volume and the bass waaay up, and I'm set! That way I get "in the zone" pretty quickly, and the gaming immersion experience becomes damn awesome.
BTW, the only games I ever played this way were shooters. Panzer Dragoon Zwei, Radiant Silvergun, Ikaruga and Rez. Ah, I do this with Policenatus sometimes: that friggin' game can get really immersive that way even if it just still pictures.