If is immersion what you want, then STALKER is what you need!!!

I remember enjoying those games, at least until it started getting into ghosts and supernatural, and then i lost interest...

That happened the first time I played it - I really enjoyed the first level where it's a straight up case the joint and steal stuff, but then the zombies turned up in the prison, and I found the gameplay mechanic challenging (I was probably only about 14 at the time). Revisiting the game as an adult, I enjoyed it a lot more.

Thief: The Dark Project / GOLD (1998 / 1999) - graphics is okay but character models are low polygonal it might put you off, Thief 2 was not so good and Thief 3 was almost broken, that last game in trilogy was made on Unreal Engine and there is no rope arrow mechanics among some other things, Thief (2014) is completely different game but in some way it could considered as a sequel to Thief 3 and it's better and still very different

System Shock 2 (1999) - probably the best Sci-Fi shooter with RPG elements, same engine as with Thief so same low poly models, Bioshock is crap in comparison but so many people love Bioshock, as for System Shock 1 it was a solid Sci-Fi game but still nothing spectacular, many old school fans prefer SS1 over SS2 which I just can't understand, original release had no option to redefine controls and was very clunky, I suggest to check Nightdive re-release with proper mouse look and fast paced engine (I beleive KEX was used there), I'm waiting for a sequel since for 22 years

Deus Ex (2000) - it was almost a masterpiece and the closest thing to Thief and System Shock 2, some of the key people worked on Thief 1, all other Deus Ex games are crap, except maybe for Mankind Divided but it was cut for several DLCs and there will be no sequel despite a cliffhanger ending for unknown reasons (the game was commercially successful even if barely).

Arx Fatalis (2002) - probably the best fantasy FPS with RPG elements in the world, the magic system was adapted from Ultima Underworld like some other elements but EA was not interested in another sequel so Arkane Studios had to make their own game, it's unusual, it's strange, it's brilliant

Prey (2017) - that's the closest thing to System Shock 2 from the creators of Arx Fatalis, there are some minor issues and you might not like it for a first few minutes but then it'll consume you, completely unrelated to original Prey (2006) game which is a solid FPS game with no sequel

And you've mentioned Clive Barker's Jericho, I did't like the game but there was another one called Clive Barker's Undying (2001), that game was the best dark FPS game I've ever played.

I've played all games from Frictional Games and I consider the very first game Penumbra: Overture (2007) the best one. It has plenty of horror and action, and it's immersive all right. They cut the action in the second one and horror in the third, which to be honest is a cheap knock-off of Portal just with no portals. Amnesia games are nothing in comparison to the first Penumbra, they are not scary and you can't just hide behind a chair for 10 seconds so a monster could leave, no in Penumbra you will be hunted down till the very end and if you look at it behind a corner OMG... that's the best part.