I agree with the other posts about having good characters and interesting worlds.
I don't even have to like the character as person, sometimes I find having unreliable or morally imperfect characters to follow even more interesting. Can I understand where these character's are coming from and why they have their motivations? Did the world that these characters are in shape their viewpoints? Those questions interest me and get me engrossed.
I also really like ambiguity and the ability for stories to leave gray areas that leaves things up to interpretation. I get tired when a story always tells me exactly how every little thing works out, why it does, etc., I'd rather be able to think about it my own way. Letting the viewer/reader ponder events and some undefined areas makes them feel more involved. I'm not talking about fan-fiction or anything, that's something separate that I'm not personally as invested in, but I don't need filler, and I don't need everything laid out neatly for me. It's sort of like when songs are interpreted in multiple ways; I'm sure writers have a general idea for what they're going for, but I enjoy when they sort of sit back and let other people view it in different ways, as long as it isn't harmful.