IMO, I would prefer loading screens. Suddenly being unable to interact with the game normally is immersion breaking, wheras loading screens are atleast firmly placed on the other side of the fourth wall, at least for me.
Blatantly obvious attempts to integrate technical aspects of the game into the game world
Couldn't think of a better name for it. I consider things like interfaces, loading etc to be a technical aspect of the game, and I don't like it when games try to merge these aspects with the game world. A good example was the interface in Dead Space (only played the first one). No idea how that was supposed to be immersive, interacting with a mouse driven GUI in the game world makes no sense to me and makes it harder for me to sustain my suspension of disbelief. In the same way that I can ignore the fact that I am using a keyboard/mouse/controller and staring at a 2d backlit LCD screen and not let those things hinder my immersion, I can ignore the 2d interface, loading screens and other technical elements as long as they are kept distinct from the game world.
Another example is the elevators in Mass Effect. Other games either just give you a loading screen (which I can ignore) or even have no obvious loading sections (e.g. by streaming).
I would be much happier with some help box telling me to push up to jump, rather than a character verbally explain to me that I have to push the up button to jump.