I can tell you that it does, 100%.
The level to which you get returns depends on your players, however.
Many players often feel embarrassed about immersing themselves in a game - attempts to increase the amount of "frission" in your game will just be met with jokes and similar attempts to "lighten up" which pretty much defeats any purpose. Things like props and similar items are totally lost on these players; the problem with even a single one of these kinds of players is that they'll begin with the comments, which generally wrecks the immersion of other players. If you even have a single player of this sort, it's better not to bother trying too hard. However, things like a nice, private room without interruptions or distractions (the latter, like banning cellphones/tablets/laptops/TV/video game consoles) helps immensely to increase player enjoyment (it also helps to write adventures to ensure all the players can always be involved and going so far as to encourage your players to stick together or giving your players something to do at all times). Generally I find that RPG games work best played indoors, in a room where you can draw drapes over any windows (a sunny day ruins a lot of situations like a storm or being in deep space).
However, there is an area that even the least immersed players I find are much more impressed with well-painted minis that obviously were chosen with care (eg; using minis that look vaguely like the creature or person in question). However, to really hit a grand slam with players, the board shouldn't be some dry-erase board or even those full-color "dungeon tile" type things but a full 3-D representation that doesn't consist of books or soda cans. I do a lot of wargaming and I've found that a convincing board to play wargames on increases the enjoyment of a game many, many, many times. I've experimented with using various "cast-it-yourself" dungeons or sci-fi tile/wallsets (or even shamelessly stolen them from other games like Space Hulk by Games Workshop) and these increase the enjoyment of the players tremendously, even in RPGs (this blends well with the tactical or semi-tactical nature of a lot of RPG games)