For interactive immersion, Raymond Smullyan's logic puzzle books, such as The Lady or the Tiger and To Mock a Mockingbird, come to mind, along with Hofstadter's Gödel, Escher, Bach. Polya's How to Solve It tries, but I think does not really succeed.
Wikipedia, Google, Facebook, eBay, and indeed the entire Web have succeeded precisely because of their aspect of interactive immersion.
At the school level, have you seen my e-pub, Discovering Discovery? It is far from finished, but I think it shows what we could do if we take interactive immersion seriously, and do not suppose that children can only learn what teachers teach.
This version assumes that you have an XO-1, but most of it would work with Sugar on any computer, and it could be adapted to a variety of other education software. My approach depends on analyzing the software to see what children can discover for themselves, what hints would make most of the rest discoverable, and what we simply have to tell children. For example, there is no way to discover the arbitrary commands and syntax used in most programming languages, but almost all of Turtle Art programming is discoverable
I mean to expand Discovering Discovery considerably after I finish the set of computer math books I am working on (Arithmetic, Algebra, and Calculus) where every math statement can be pasted into a software session and executed, or can be dissected and analyzed with the help of software that can execute any of the pieces.
Ken Iverson, Seymour Papert, and others tried to create interactive teaching materials under some rather severe technological constraints. and I am trying to expand on what they did now that we do not have those constraints. The Turtle Art tutorials at http://wiki.sugarlabs.org/go/Activities/TurtleArt/Tutorials by Tony Forster and me are another approach.
Outside the realm of books, I would cite the Montessori learning materials and Cuisenaire rods. Both require guidance, but at their best the guidance is merely hints leading to total immersion in deep discoveries that the children make themselves. The way little children learn language, physics, society, and so on naturally.
For those who can stand it, the language games in James Joyce's Finnegans Wake are of interest, but that is very much more than most people would want to commit to, even aided by all of the literature explaining what Joyce was up to, sometimes word by word, including http://www.finneganswiki.com. Joyce commented that if you can find a meaning in the Wake, whether he put it there or not, you are correct. He meant to incorporate all of human literature and experience into the Wake (at least by reference), in somewhat the same way that some of John Cage's compositions invite you to listen to every sound in your environment with the musical ear, not just let them pass by, or worse, actively filter them out. There are also a number of religious practices that invite you to take everything that enters into your consciousness as the subject of your meditation/contemplation/koan.