If you're talking about immersion in the role-playing sense, some of the classics are:
1. Stop to eat food and drink here and there along your journeys.
2. Sleep when appropriate, and when your character is tired.
3. Stop at local taverns while in town for the conversation and take a load off.
4. Move through dungeons and ruins slower (walking part of the time versus always running). Take in the sights.
5. Avoid treacherous environments like the harsh tundra or rocky cliff faces unless absolutely necessary or a quest takes you there.
etc. etc. etc.
Definitely this. Adding: Also try to go eveywhere on foot (or horseback). If you're into developing stealth skills, try sneaking everywhere (at a run) while traveling. This builds skill development and increases your reaction time to enemies like bandits/wild animals on the road. Also avoid fast traveling as it will cause you to miss out on the random world occurences. When traveling/adventuring on the road, try to establish a routine.
6. If on the road, try setting up camp an hour or so after sunset---say around 7-8pm or so. Try to find and clear out a bandit camp or find a deserted campsite to make camp each night. Then spend 1hr doing some foraging around for herbs/hunting/fishing for dinner before making camp. Then bring the food back to camp and cook dinner for that night and the following day. Nothing beats having several horker loaves or venison chops handy to restore your health while getting mauled by a bear or saber cat during combat! Also keep 8-10 stews handy for post battles like those. The beef/venison/Eider cheese fondue and venison stews come in real handy in slowly regenerating your health--especially if you're out of healing potions and/or have low magicka.
7. Inclement weather: In case of blizzards and rain, try seeking shelter in whatever caves you might encounter. Make camp near the inside entrace of the cave--but try to avoid exploring the cave area. Doing so could end up breaking a quest. Just hang out near the mouth of the cave and wait the 7-8 hrs or so until morning. Also note if you've already explored a cave, it's possible the enemy NPCs/animals may not have respawned. So this might give you an opportunity to sleep in any vacant beds there and wake up well rested.
8. For the ultimate experience (and if you enjoy wasting energy), turn on the AC when you're in the colder regions of Skyrim.

Try doing this in the Skyrim regions where it typically snows like in Windhelm and Morthal.

I'm in N. California and it's currently winter here. So I just open the windows sometimes and let the 35F cold air into my game for free !

note: I typically forage and live off the land as I go, so becoming unnecessarily encumbered is an ongoing challenge. The more encumbered you get, the harder it is for you to maneuver in a fight. And this really blows if you're trying to escape being killed in a fight. So try minimizing the amount of loot you acquire as much as possible. For example, don't tan any animal pelts you skin from hunting into leather because these weigh more. Same thing for converting reagents into potions with random crafting stations you encounter in the wilderness. Don't make potions unless they're directly useful in combat (like health, magkica, stamina and invisibility potions. The only other things you should be making that have weight is food.
The exception to this is if you're reasonably close to a village/town/hold within a 2-3 hr walk before sunset. If you know for a fact that the nearest settlement doesn't have a specific crafting station (like a grindstone or tanning rack), but has a forge, then you might want to consider using the crafting equipment you encounter en route to that settlement. This will increase your production efficiency in crafting weapons and armor when you arrive at that settlement. Finally, don't forget to use your smithing skill at every opportunity you get. Just remember that improving items when smithing are not cumulative--but they DO stack with enchantments. So on your travels, always improve your weapons and armor BEFORE enchanting them and practice this often.