Experiential marketing is a real-life, immersive experience that you offer to your customers. Events under this umbrella not only market your products, but they sell your company and brand as a whole.
Experiential marketing is very common in music festivals, especially at Coachella. For example, if you are selling software that edits photos, you can set up a pop-up photo booth and enable people to edit photos right then and there. This will let your customers figure out the usability of your product and see the results right away.
For video games, having virtual reality as part of customers trying the games is also considered an immersive experience.