I don't like heights. But I do like Game of Thrones. That's why, a few years ago, I had mixed feelings about trying an experimental virtual-reality version of the Wall, the skyscraping barricade that protects the show's human characters from its white, walking monsters.

Seconds after I wired in, I heard, and felt, an icy breeze. A vast, wintery nothingness stretched beyond the horizon. Then I looked down. The tips of my virtual shoes had, I realized, inched over the Wall's edge. My stomach fell, my center of gravity lurched, and I instinctively jerked back--only to ricochet too far forward, over the precipice. I ripped the mask and headphones off before I could experience whatever would happen next.

This is marketing that every business dreams of--an experience that generates lasting memories and water-cooler fodder. The reason has as much to do with how our brains work as the technology.

For more than a decade, scientists have studied "virtual-reality exposure therapy," which has been used to treat veterans suffering from posttraumatic stress disorder. Immersive environments, like VR, can closely simulate nearly any scenario. Patients, guided by trained therapists, are embedded into VR stories that represent a trauma they've experienced. Over time, emerging research shows, this therapy could rewire us--beliefs, attitudes, and reactions can be changed. That's why I still can't shake that awful memory of falling off the Wall. I know it wasn't real, but my brain was tricked.

This presents interesting opportunities for businesses. For example, both BMW and Volvo have created immersive video experiences to allow would-be buyers to test drive their cars. Unlike the usual test drive with a nagging salesperson, you ride solo on gorgeous open roads, in the best possible weather. Spend time with such apps, and your logical mind might get shoved into the back seat. You might start to believe that, inside this car, every day is a traffic-free holiday and you can drive like Formula 1 superstar Lewis Hamilton.

Ikea's virtual kitchen app transports you to a beautiful room with impeccably organized dishes, appliances, and silverware. You can peek into cabinets and drawers, run your hand over the countertops, and gaze at a perfectly polished chrome sink. You can see afternoon sunlight through an open patio door--beyond it, you can hear the soft cries of birds. You feel as though anything you cook will be gratefully received by your serene, lovely children.

For founders seeking to experiment, there are now hundreds of VR-savvy studios and agencies. St. Louis-based ShowMeVirtual recently created an immersive video experience for a local sailing association; the San Diego-based Dryft Digital created a video for a local Humane Society that lets you play with adoptable kittens.

Yet as VR promises these new experiences, it highlights impending ethical challenges. As more VR and augmented-reality headsets hit the market, businesses will be able to tap directly into our minds as never before, persuade us through immersive storytelling--and potentially wield enormous power. How do we define truth in advertising in such a medium? If you experience a product in strictly controlled, ideal circumstances, and you develop a positive bias as a result, does that cross a line? In the real world, there is black ice on the roads, kitchens are cluttered, and, while kittens are cute, they also destroy furniture.

And while there may be no White Walkers, my brain no longer cares. For me, winter is always coming­--the moment I close my eyes and imagine standing on the Wall. Because that's how powerful this marketing can be.