Exercise video games have become increasingly popular due to their potential as tools to increase user motivation to exercise. In recent years we have seen an emergence of consumer level interface devices suitable for use in gaming. While past research has indicated that immersion is a factor in exergame effectiveness, there has been little research investigating the use of immersive interface technologies such as head mounted displays for use in exergames. In this paper we identify and discuss five major design challenges associated with the use of immersive technologies in exergaming: motion sickness caused by sensory disconnect when using a head mounted display, reliable bodily motion tracking controls, the health and safety concerns of exercising when using immersive technologies, the selection of an appropriate player perspective, and physical feedback latency. We demonstrate a prototype exergame utilising several affordable immersive gaming devices as a case study in overcoming these challenges. The results of a user study we conducted found that our prototype game was largely successful in overcoming these challenges, although further work would lead to improvement and we were able to identify further issues associated with the use of a head mounted display during exercise.