For me, almost not at all. It's rare any theme is enough to make me feel like I'm doing anything other than riding a rollercoaster - I don't feel like I'm battling a monster when I ride Nemesis, I don't feel like I'm racing a car on Red Force or Stealth. Oblivion is an exception because its clinical feel and uncanny climb do seem sufficiently *other* to make you buy the theme, but for the most part, I don't need theming - a coaster should stand and fall on its own terms for me.
I would say that this is distinct from a coaster's setting - there's no question at all that Nemesis' pit etc heightens the experience, and 'car park' coasters to me feel somewhat lacking. Bits of scenery to function as near misses etc work in the same way, but it's the rides' locations ultimately that affect the rides for me, rarely any storyline or theming.