For many groups, the difference between the quality of various games often comes down to the subtle considerations they make when preparing for a session. While such creative thinking can range from adding ambiance-enhancing music to performing accents for each NPC encountered, I'd like to focus this entry on the effects which aid one's visualization of the game. Be it an artificially aged map provided by the quest-giver or a tasteful character portrait representative of a player character, several elements can be added to transform a period of dice-rolling into a vibrant, immersive experience:
A particularly effective, yet seldom utilized tool of the artistic host. A measure of skill with arts and crafts, paired with a bit of imagination (or an extremely obscure reference), can turn that 'rusted bronze key' or '+1 dagger' into a tangible item. The most prominent advantage of this creation is an improvement of the overall acting/role-playing capacity of your players. Certain participants may have difficulty getting into character through imagination alone, but give them a representation of key items, and suddenly you have a troupe of thespians eager to re-enact your scenarios.
A small picture, figurine, or other minor visual representation of an NPC can help flesh out these notoriously two-dimensional elements. Though, it's rarely necessary to go overboard and create an avatar for every servant, peasant, or shopkeeper introduced, a little effort can certainly go a long way when interacting with a particularly memorable or recurring character.
The most basic of visual aid, the playing surface/grid/map gives players a convenient and straightforward referral to their character's spatial orientation in respect to their current environment. Its beauty lies in its simplicity and functionality, though rendering a constantly-changing landscape can quickly become a chore, which spurs certain hosts to eschew this tool completely. Such individuals often have a knack for descriptive narration and/or follow a rules-light system, thus enabling such a free-form method of representation. A word of caution must be applied, however; while there's nothing inherently wrong with this approach, it does make player cheating somewhat easier to accomplish.
Hopefully, these suggestions have inspired any hosts out there to take an extra creative step towards productivity and provide an extra layer of immersion.
Edit: Though the majority of this post was directed towards those hosting a game, there's no reason why a player can't take the first step and create their own props, portraits, or maps. In fact, such individuals have an extra degree of immersion at their disposal, by way of donning an outfit or costume representative of their chosen character. Sure, it's something of a social awkwardness and general bother, but it doesn't need to be overly elaborate. An element as simple as a unique accessory (hat, smoking pipe, etc.) or a mock weapon can enhance your own acting and by extension, the overall level of immersion. In the very least, your host is sure to appreciate and make note of the effort, as surely as you appreciate theirs.