Whether you are playing online in a massive multiplayer world, or are just having a quiet game of D&D with your friends, the ambiance you create in your room can help to enhance the fantasy you are trying to create.
An RPG is basically an interactive story. Using symbols, maps, and pictures a world is created which you can explore and participate in. In order to make the experience worthwhile, you have to be able to imagine yourself as actually being in that world, and interacting with real fantastic creatures.
This can be difficult to do with broad daylight and overhead light fixtures pointing out in glaring detail every facet of the modern, mundane world.
However, if you dim the lights, and light a few candles throughout the space, suddenly the real world is cast in shadows. In the dark, your mind is given free reign to fill in the gaps with fantastic features. You are no longer on the floor of your living room; you are in an ancient a dangerous tunnel, awaiting the approach of a band of Orks.
Sitting by the flickering light of the candles flame, you will feel the story take on new life. The real world will fade out for a time, allowing you to replace it with the fantasy adventure you are engaged in.
However you have to be careful. You are not really a wizard with a level eight water spell. If you get too into the game, and forget to tend the tiny fires you have lit, you may end up with a very serious and very real problem on your hands.