One of the parts I find crucial to any immerse RPG is ambient events. Things that are naturally "out of the ordinary" for day to day, but not exactly special. Seeing a small car crash is out of the ordinary, but generally nothing you wouldn't expect in a large city. I've been playing Mafia: Definitive Edition, and here are some examples of things that bring the world to life (albeit these are scripted for certain missions, though seeing them ambiently would be much better).
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Paramedics and civilians trying to coax a man off the bridge to prevent him committing suicide. A car across the road was stopped to watch, too.
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Cops and Medics at the scene of a vehicle collision as bystanders watch. Cones, barriers and cop cars set up to block the road. (Two barriers destroyed because a rogue AI truck decided to go right through them after his pathing was interrupted, but all other AI vehicles diverted and used another road).
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An LHPD officer with a random civilian at a traffic stop.
Ambient events like these or more make the world seem more alive imo. Cops stopping a car on the side of the road, a random arrest occurring, random crimes committed by NPCs, a crime scene of a robbery or murder, Trauma Team evacuating their client from a medical emergency, a fire being put out etc.
Similarly to ambient events you spot, reactions to your own actions, be they from a mission or just free roam activities.
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For example here, in Mafia, where the LHPD show up after a car bombing and keep bystanders at bay while another cop investigates the initial scene.
I also feel like cities feel more alive with other sorts of ambient events you usually see in missions. For example, we've all played through chase sequences where road construction blocks a path or creates a ramp, or other things block routes like police at a vehicle crash, a protest in the road, construction work in the way, etc etc. However when you then freeroam, you see none of these and it always feels like the "alive" world the mission gave you is ripped away. Seeing said events both in missions and as you freeroam, for example just roaming along but suddenly a street you were going take is closed by construction works, a crime scene, an accident etc makes the environment feel more responsive and living.
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Road construction work during a chase in Mafia
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Vehicle collision blocking a bridge during a chase in Mafia
I think we already saw some examples of this in the Postcards from Night City and Gangs of Night City videos though, So I'm already very pleased on that front!
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A small crime scene after a killing with cops and crime scene technicians, seen during the "Mox" segment of the Gangs of Night City video.
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What appears to be a HAZMAT crew cleaning up a hazardous material spill from the Postcards from Night City video.