Act 1: Felt the most immersive to me. You get the most companion reactions and dialog options, also loads of cutscenes.
Act 2: Was also nice, but it was so dark all the time, I missed being in a more friendly environment after a while.
Act 3: I love how they created the city with cute little side streets, etc.. But I lost the connection to the companions, because they became just empty bodies that had nothing to say anymore. The ending wasn't what I expected either.