I've played it on and off for about 8 hours. Not because it's not immersive but because I'm always picking a game to play out of my collection of about 120, so I'm somewhat of a slow player per game.
And I'm not always in the mood for adventure point and clickers.
If you like this kind of game though it's definitely worth the purchase.
I've played Gabriel Knight and liked that too (maybe even more) but I could never get past the sequence where you have to run up a hotel stairs and pickpocket someone, and in the end I just gave up on that.
Another very good game in this genre is Broken Sword. I rank Gray Matter among the best along with the games mentioned in my review. I bought it when it just came out because it had been too long since I played a game like this. I'm not disappointed.