Anyone else feel like they are “transported” INTO the music

I would say yes. Certain albums really have that effect on me. 

Happens to me on a pretty constant basis. Not every listening session, but quite often. And even the listening sessions where it doesn't happen, are still extremely rewarding. 

The vast majority of the music I listen to*, is not conducive to casual listening, or as background music, or while I am multitasking. So. almost all of my listening (unless I am researching new music online) is active listening. 

*due to its high levels of complexity, instrumental interplay, sophisticated arrangements, atonality, long form pieces/songs, emotional and/or intellectual content. 

It happens to me all the time. It's the reason why I fire the system up and put something on. Though I'm mostly transported via Classical music, bands like the Byrds and the Ramones will transport me to their universes, as well. It's what makes music the powerful force that it is.

+1 on "Jazz At The Pawnshop"

If you get a pair of headphones with great soundstage, you can hear precisely where everything is.  Loved the clinking of glasses and the audience interaction.  With my HD820 I can almost see the vibraphone.