Sometimes it works, but I'd rather not to do it. I'm enjoying entertainment more when I forget the real world around me and think I'm part of the story. It's even easier in Penumbra and Amnesia since you can't see the main characters at all.
I get often weird looks from people I play games or watch movies with if they don't know me. I'm cheering if something goes well, worrying about my fav characters' survival and telling the annoying ones to screw themselves if they do something nasty to my favourites.
"It's just a game/movie."
Yeah, so? I think it's plain boring to sit there completely emotionless and think "It's not real" if something happens that's about to make you sad, happy or afraid etc. I'm over twenty and still refusing to grow up.
Fortunately this hasn't happened too often, but when I'm about to get stuck because of shitting too much bricks I'm putting lights on and singing something stupid while going on.