Sure, I'm aware somewhere in the back of my mind that everything has been laid out for me, but in my favorite games, I'm able to suspend my disbelief. However, if I can't figure out where to go, or if the game is too hard and I die too frequently, or if the game is too easy and I don't feel a threat, or if the pacing gets bogged down by optional side quests and bullshit skill trees... it's very easy for any of these things to break the illusion.
I'd actually hold up Portal 2 as the best example of a linear cinematic experience done right. The pacing is perfect, the difficulty is perfect, and there's no distracting side quests or experience points. Combined with the first person perspective and the mute protagonist, I really feel like I am Chell, trapped inside Aperture Science and talking to Wheatley.