Far Cry 2 really was a glorious experiment in immersion—for some it seemed to fail spectacularly, and for others (like you and I) it seemed to hit some nerve in just the right way.
I play the game very similarly to you. Have you tried the self—imposed permadeath route? I did one play that way—didn't end up beating it, of course—and it was a hell of an experience.
I try to play most FPS games as if death is permanent, though I don't make such a rule. Rather, I simply don't enjoy the kamikaze rush that pays off maybe 80-95% of the time but looks like something out of a Hollywood action movie (this seems more the style where Crysis was targeted), but rather the reasoned, considered approach that works out 99.5% or higher (and might be a realistic approach if one were actually living in the game universe). Immersion just doesn't work for me if I can't do that.
So I don't like CoD and other linear shooters which present you with a series of scripted shooting galleries and a quota of targets to hit before allowing progress (it's utterly mindless); nor do I like (any more) the Quake / Doom style of horror "surprises", where long straight corridors and shadowy alcoves are near certain to contain unpleasant ambushes (it almost punishes foresight); and nor do I like Half-Life 2 and its episodes, which do not reward exploration or observation - every possible "bad outcome" is blatantly and repeatedly telegraphed, and almost every interesting alcove turns out to actually be the way forward because the obvious way forward turns out to be blocked: HL2+ are over-designed.
With more and more games focused towards consoles, lacking first person (I would have enjoyed GTA4 more if it were first person outside vehicles), and with "crouch in cover mode" features activated by dedicated controls (I thought ducking in and out of cover was part of the challenge?), I sometimes fear the depth I seek is getting harder to find. But I'm not sure. Games like the Thief series, Deus Ex, Far Cry 1 & 2, and modern RPGs like Oblivion and Fallout, are probably actually coming out with roughly the same regularity as always, just that memory compresses them.
I play the game very similarly to you. Have you tried the self—imposed permadeath route? I did one play that way—didn't end up beating it, of course—and it was a hell of an experience.