The Three Body Problem trilogy really made my visual imagination go wild with its sci-fi concepts within the books' world. The story spans a huge timeframe, and thus you get to see many wildly different ways of living with a story full of twists. Each book got crazier conpared to the previous one!
I'll second that. Firefly meets mass effect minus all that distracting gun fighting mularkey. World building and character development all the way. A solidly enjoyable read.
Of course Dune is a true classic that should be read by everybody, but on the more obscure side of things, I found the best immersion experience with Ian McDonald’s Luna trilogy. A true masterpiece in my opinion.
In the classic fantasy category, you're probably already familiar with Diana Wynne Jones and Terry Pratchett, but if not, both are good for escaping reality. Jones has a fairly consistent style, so pick anything by her. Pratchett varies a little depending on the genre he's satirizing, so YMMV on specific books, but I think he offers something for any fantasy fan. Don't worry too much about reading the books in sequence for either Jones or Pratchett, especially Pratchett. For sci fi, William Gibson is required reading if you like cyberpunk and don't mind weak female characters, and I find his prose absorbing. Don't worry about sequence for his stuff, either, backstory is not a major component in most of his books.
For more recent stuff, Kate Elliott's Court of Fives books are absolutely riveting. I wouldn't call them pure escapism from an emotional standpoint, since there's a lot of social realism (particularly in the areas of racism, sexism, and class divisions), but the world-building is second to none, and good triumphs over evil most of the time.
Did you watch the show? I just finished and now want to start the books from the beginning so I can get the full series, but it's going to be a very long read.
I'm obsessed with Mercedes Lackey's Heralds of Valdemar - they are so nice and cozy for me, but exciting at the same time. I've also been reading R. A. Salvatore's Drizzt Do'Urden books, which are also pretty fun. Lynn Flewelling's Nightrunner series is probably my 2nd favorite fantasy series, and the Tamir trilogy.
Not nearly as well known as the other suggestions, but I really enjoyed Jubilant by Galadriel Coffeen and Anneliese Knop! If you like pirates and magic with lovely, deep worldbuilding, I'd highly recommend!