You lose personhood and individuality as Gerald Baron. The illusion is that you are Gerald Baron, not that Gerald Baron is illusory in the sense that he's not. And the nature of world, whether matter is material or just a set of information rules or even a dream, plays no role in this. After all, a dream is factual in the sense that it is. You experience it – it is a real dream and it does not matter that it is a dream.

When you observe what your notion of “I-ness” points at, you will realize that “your” consciousness is, indeed, immaterial, insubstantial, unchanging, eternal (thus immortal), etc. I put “your” in quotation marks because it's not yours, you are it. You are that which experiences and exists.

And that which is and experiences is God. “I am that I am.” The “I am” which is, and was before anything and anyone was, and which always will be. There is no personal “I am” in the sense that each person's “I am” is distinct and unique. Every “I am” is the same “I am” because there is only one “I am”. That of God. “Atman is Brahman” as Hindus would say – that is, the notion of our self is in reality nothing else but God perceiving God. And you are that. Talk about being created in the image of God (thus also the parallels of world being a dream – as above so below).

So yes, bullet and bus are totally real, but your true nature is what “I am” points at.

In other words, imagine a pond of water with a whirlpool in the middle. Now, the pond is so big that most of the water stands still. The water is God and the whirlpool is world. And of course, it's just a metaphor because to truly represent God, you must imagine that that water is non-dimensional, insubstantial, and so on and so forth. And the pond is also not located anywhere as there is no “outside” of it. When you look at the whirlpool, and no matter how you slice it, it is always water at all levels (nothing emantes from anything, it's just the water's movement).

I hope that helps ;)