The Snack: Edit
Sound effects, while a seemingly minor aspect of gameplay, can be pivotal in the level of cohesion and immersion a player experiences. And when I talk about sounds here, I mean the diegetic, in-world sounds of the game: things the actual character in the game would hear. So not music or audio cues separate from the in-game world. Paying attention to the small details of sound - the sound a door makes when opening versus shutting, what footfalls sound like on dirt versus cement, what various projectiles sound like when they hit various obstacles - is crucial to truly immersing a player in the world of the game. It is important to not only have sounds, but to make sure those sounds feel natural, that they belong and are happening when they are supposed to. Sounds can communicate a lot to a player, and if they are being used right, they can even communicate things about the game to the player. For instance, if a player is familiar with the sound of a door opening and closing, then hearing that out of context (i.e, when they haven't done anything to a door) can alert them to possible enemies or danger nearby. Or perhaps a sound indicates a puzzle being solved, like hearing a wall slide open to a secret passage after triggering the catch, even if the player isn't in sight of the wall opening.
Many games do a great job of fleshing out their worlds with sound. The game that came to mind for me was Fallout 4, though many other games could be substituted into this sentence.
Example (not the author's one) 02: In Eternal Darkness sound effects help to set the mood of the game (player's immersion) and also they make the player have feedback while hitting enemies, or they help the player know there is an useful object around him/her.