Watching a movie in 3D is different from watching it in 2D: it's more likely to fool part of your brain into believe the situation is real. In a study by Brendan Rooney, 3D viewers had a higher heart rate compared to viewers of a 2D film. Christian Jarrett at BPS Research Digest explains that this might be because it's harder to tell ourselves the experience isn't real.
Rooney and his colleagues explain that skin conductance - that is, the skin's sweatiness - is influenced only by the sympathetic nervous system (which triggers the fight or flight response) and not by the parasympathetic nervous system (which calms us down). By contrast, heart rate is influenced by both. This suggests to them that the calming parasympathetic nervous system is less active in viewers of 3D. Why? Well, one theory for how we calm our emotions during films is by reminding ourselves that they're not real. The 3D viewers said they found the viewing experience more realistic and it's possible that this made it more difficult for them to step outside of the experience, leaving their emotional response relatively unchecked. The researchers concede that the causal direction could also run the other way - the 3D viewers raised heart rate could cause them to perceive the experience as more realistic. Most likely the influences are bi-directional.
The difference between 2D and 3D displays probably applies to 3DSs as well; 3D game are actually more immersive, if such a thing could be quantified.