Gravity

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Like, I don't know how people can enjoy playing stealth games or horror games (like Penumbra and such) with a crowd of people watching on. In the case of the stealth games i'd be pressured to do something cool and not just

You could try changing your playstyle then. Usually in stealth games I try to ghost everything on the first attempt which sometimes is only possible with very precise timing and a thought out plan or not possible at all hence I reload often. If you know other people are watching I'd think you wouldn't take as many risks; probably take things slow and live with your mistakes whatever they might be. You could also try playing at a lower difficulty if there is one. What I think is cool personally is being prudent (within reason) and succeeding. Doing flashy scripted stuff is also cool but it's not the only way to get people interested in watching.

In the case of a horror game i'd be broken out of the immersion by the person (s) watching on (and probably telling me to do stuff).

I don't think it breaks immersion that much. If it's possible for me to be reasonably immersed watching a let's play I can only assume that the one broadcasting or recording is perfectly capable of being immersed. It's a different experience sure, but I don't see how it's inferior by default. Total immersion isn't really possible anyway IMO.