Anyone else feel like they are “transported” INTO the music

Yes.

Every time I drop the needle or que up a play list on my Zenith. I escape from the pressures of work and go to another place, with out the aid of modern chemistry or fermented fruits and grains. 

One thing I’ve had happen live that I’ve never had happen with a sound system is the music taking over and transforming the space - at least in my mind. I went to see Isaac Stern at our local Hult Center for the Performing Arts. It was just him and a pianist playing duet. He and the pianist came on stage, talked a bit about the works they were going to play, did a little tuning, and then started in to it. With the first few notes, I could almost see something settling down in the concert hall, a magical atmosphere. It really shocked me! The concert hall was transformed in a matter of seconds, felt like I was in a different place and time.

Something similar happened when I was in middle school. A quartet from a University stopped by our school and performed for us in orchestra class. The effect was almost too much for me. I was overwhelmed with emotion, literally trembling by the time it was over. I was trying to hold it together, embarrassed that tears might start flowing in front of my classmates. I recall they played something by Dvorak.

Yes, every time I listen to my system. But weed helps, Lol.

Of course, I don't use my magic hookah every time I listen, but it tends to accentuate the effect for certain.

I often refer to it as "falling into the music".  The phrase just seems to work for me.  But either way, yes, definitely transports the mind and spirit to a level that is euphoric.