I have a week left to get in on this...
Clearly I've emersed myself in the world of WoT, probably more than any other. I started reading in highschool (mid 90s) and spent about 5 years developing (first building, then coding) WoT based on-line role playing games (MUDs, as they were known). That was full immersion, when I was "building" i wrote descriptions of buildings in cities and towns, hotels along roads, fields of grass, and the like, and developed in-word NPCs (non-player characters...arg, we had another name for them, and it wasn't bots...whatever, I forget). When I started coding I re-wrote the combat system (CircleMUD based (D&D2core)) into a WoT based one with channeling, weapon mastery, area effects, and the like. The original WoT companion had just come out so we had a good deal of info to go on, but things like the age-to-character-strength master charts hadn't come out yet (those would have been amazing).
That's just the WoT.
In general, and this is true really of anything I read - I read to escape reality. I freely admit it. It's probably why I so easily dipped into other reality altering activities in my younger years (books are ... better? different? lets not get into that here...).
Other worlds I've loved are the Ender's Game world (spefically the later stuff on Lusitania), though I frequently imagined myself in battle school instead of high school. I've always loved the Tolkien worlds.
I only recently read PERN (strange as that may sound; I bought a kindle a few years ago and thought to myself 'what's a "fanatasy trash" world from my childhood i wish i had read?' PERN!). Reading that as an adult - when it's apparently a YA story is ... interesting ... firstly it's a pretty ... advanced ... YA story, but I liked it.