A game like Tomb Raider is not the only place that this can happen. Anyone with an active imagination or a need to solve problems can have the sensation of being in another place, trying to work out difficulties. As an adult, I've often had similar experiences with well-written books. I've had the distinct feeling that I would be unsafe until I finished a particular murder mystery and the criminal was discovered and brought to justice. I've struggled alongside characters who had to make life-altering decisions, feeling that I was experiencing the same difficulty. When I played the game The 7th Guest, there was a single puzzle that I worked on for 3 weeks. In a sense, I was trapped by that puzzle, but it was an intriguing problem to be solved and once it was presented, I couldn't mentally get away from it until I solved it.
John's suggestion to impose intermediate goals is a good one because it's what we have to learn to do in real-life dilemmas. Games can be a good place for kids to learn problem-solving skills -- even if they're as basic as saving the games so as not to lose all of their hard work!