Gotta say THEATER but probably not for the reasons you're thinking. 😮
Actually i find BIG screen movies much more immersive… easier to get sucked down and lost in the rabbit hole. It's an introverted form of entertainment allowing me to retreat from the world around me into fantasy.
But THEATER… is an experience. A special occasion, like a treat, a night out. Something you dress up for, get your hair done for. More a social form of entertainment, people watching n socializing. I find myself much too excited n distracted to become “immersed” in the performance. I'm much too immersed in the experience.