I was thinking more along the lines of neural connections, and you probably sitting in some comfy chair physically while roaming in your mind.

You know, however sci-fi "solves" VR. I agree with your sentiment, current "let's put displays on a headset" approach seems way too old school to me. A 20th century (flawed) solution to a true 21st century problem (much more than elec. tech it's bio-extension, very rich cognitive interface).