Powerful waves
A video game interacts with two human senses: sight and hearing.
Sight is more precise and analytical, it's our primary way to perceive the world. Hearing has to give us an idea of what is going on in our surroundings, even outside of our field of vision. Also, while visual stimuli are usually continuous, sounds are often discontinuous: hearing has to trigger swift and instinctive responses to stimuli, even before we can further analyze what is going with our sight.
Hearing is primordial, linked to instincts and subconscious.
Sounds effects and music are powerful means to whisper directly to the deepest parts of a player's mind. They can convey moods and feelings in a subtle but efficient way.
A game without sound lacks what makes the player believe to be in the game and not in front of a screen.