Help me get lost in more books!

Terry Pratchett's http://www.terrypratchettbooks.com/discworld/have spawned multiple http://www.blondetiger.net/disc/, computer and board games, and an alternative universe based on http://www.lspace.org/ a quantum theory of how books in Libraries distort space and time. There are http://en.wikipedia.org/wiki/Discworld and counting ... The series covers a diverse set of genres, all based in a flat world that rotates on the back of four elephants, supported on the back of a http://forums.rpgchat.com/showthread.php?t=74708.

Zelazny's Amber series might fill the bill. That world sucked me in but good.

Not science fiction, but immersive: http://www.wwnorton.com/POB/pobtitles.htm#aubrey.

George R.R. Martin's A Song of Ice and Fire series for sure. It has a lot of what you mentioned; hints about old legends and magic that make you want to keep reading. Very well written.

I'm not sure how well it wears after the age of 16 or so, what with all the vintage 60s/70s Absurdism... but if you want depth and elaboration, you might want to check out the Illuminatus! Trilogy.

It's not a book, but how about Babylon 5? The special effects probably don't hold up to current TV, but the world is very immersive, and the plot arc is very very well done, and by "well done" I mean "the best-plotted TV show I've ever seen." There are a lot of little details here and there, and the mysterious plot threads are done perfectly, because, to hear the creator tell it, it's a five-year novel for TV. (Sure, Season 5 got a bit derailed, but let's not talk about that.) So he knew what he was doing and was able to set up a lot of things. And there was a lot of fan discussion, theories, paying attention to everything everyone ever said that sounded vaguely prophetic. A lot of times you know exactly how it's going to end, but the fun is in seeing how it gets there. It's got a lot of awesome "what's going on here?"... with later payoff. As an example, the season one episode "Babylon Squared" features a time-travel plot with a lot of things that don't quite make sense at the time, for the viewer or the characters, which is then resolved in "War Without End," in season three. And everything you didn't understand two seasons ago in that episode suddenly makes perfect sense.

I can say unequivocally that the http://en.wikipedia.org/wiki/Diana_Gabaldon#Outlander_Series series by Diana Gabaldon will suck you in. I lost a good two weeks of my life reading those books - I could not put them down, they were so good. I don't know if they meet your requirement of a mythology, though. But, for sheer 'getting lost in a good book quality' they are 5 stars.

Firefly has a pretty in-depth world with interesting spinoffs and supplementary material and a HUGE fan community. Dollhouse, another series by Joss Whedon (Firefly/Buffy/Angel) is airing now on Fridays and I've found it to be quite intriguing and it sparks a lot of fun discussion and debate about free will and sexuality. Are you into anime/manga/JRPGs? If that's up your alley, there are quite a few nifty ones-- Neon Genesis Evangelion is one with a TON of philosophical/mythological undertones, but it's not for everyone. (I had a fun time watching that with a friend with more knowledge of Freud and I had more knowledge of Sarte and we kept bouncing stuff off each other.)

For sci-fi, I really enjoyed Dan Simmon's Hyperion and Fall of Hyperion.