Immersion

As a DM you want your players to be invested in their characters. This means you want them to care what happens to them. One of the best tools to do this is with immersion. Immersion is the blurring of the line between the character and player, but in a good way.  Your players going to school for a week dressed up as their character with the broadsword "in case something happens" is not healthy. Having them forget about the real world for a short bit while they sit around the table is healthy.

Creating immersion takes some work. You also have to be creative; think outside the box. This post will show of the techniques and tricks I've used on my players in the past. Maybe they can give you some ideas for your own campaign.
The first thing you need to remember with immersion is that you are targetting the player with these, not the character. You want the player to interact with the adventure. You already have the character doing that; now it's time to get the player involved.

Props are an easy way to get the players involved. If there is something integral to the adventure see if you can find a real life version of it. A flask with runes upon it which holds the soul of a lich, is easy enough to get and make. Put it down on the table once the characters find it and the players will start touching it, examining it. Even better if the runes describe the special method required to destroy the bottle.
Make sure the prop is relevant. Just because there is a mirror in a room doesnt mean you should bring a mirror to the table. If the mirror is important to the story then bring one, especially if it is unique in some way. Perhaps the mirror has something written backwards on it.

I was running a Rolemaster game wherein the players were bastard children of demons. They were, however, raised by a benevolent wizard who took them from danger and tried to rear them with the morals of a human. One of the predominant themes of the campaign was the concept of nature (would their demonic heritage cause them to do evil) vs nuture (or would being raised by a good man allow them to control the demonic aspect and do good). This type of theme is not something you can force on the players.
Instead, after the town was destroyed by an army while they were away and they were searching through the rubble, they came across a large stack of papers. I had done some web searches for school reports on the subject of nature vs nuture, the concept of evil and genetics. I then took the ones I thought would work and altered them so they would fit into a fantasy setting (changed mentions of dollars to gold, etc). Some of the papers also detailed correspondence with other wizards over fears that the characters could not be trusted. While the players read about themselves they also glanced at the topics and did some spot reading of the papers. They were inundated with the theme of the campaign. It made the theme more real for them and their characters, without me having to resort to blantantly telling them what was going on.

One Legend of the Five Rings game I ran had the players sneaking into the room of a clan lord to spy on a meeting. I could have read from my script of what the two clan lords said to each other, but that would have been dry and had the chance of losing the players interest with too much rhetoric. Instead I had a couple of friends come over beforehand and read the lines from the script into a recorder.
During the game, at the scene where they had successfully snuck in and were in hiding, I played the recording. Before I played it, I told the players I would play it only once and what they heard was what their characters heard; ie if they missed anything then so did their characters. The players listened intently and very quietly so as to not miss anything. I had their undivided attention and the scene was far more memorable.

During a game of Shadowrun, the characters had run afoul an organized crime family. The characters were doing some preliminary work at the beginning of the evening, getting new gear, seeing some contacts, etc.  Suddenly the phone in my house rang. One of the players was closest to the phone so I asked him to pick it up. The caller asked for one of the characters by name. The player was confused but handed it to the player of the named character. The caller identified himself as someone the characters knew as a member of the crime family. The caller then proceeded to threaten the characters and after a short time hung up.
Earlier in the week I had contacted a friend of mine and asked him if he would play the part of the caller. I had him call at a specific time, when I knew there would be some downtime in the game. I gave him a very brief outline of what I wanted him to say. Doing the call this way shook the players up, much the same way the characters were shaken up.

I was running a one-off and had made pre-generated characters for the players to "speed things along". It was a Werewolf (from White Wolf) game where the players were investigating the massacre of some werecreatures at a special summit. The story was moving along fine when I suddenly changed tracks. Instead of being a GM playing the part of an npc, I began playing the part of an npc who was a GM. This new npc interrupted the Werewolf game to explain that something had gone wrong at the gaming convention they were all attending. I then handed them blank character sheets for a modern day game and told them to make their real characters for the game.
After this things got even weirder for the players. Basically I had a fictionalized (and insane) version of Aleister Crowley running around a gaming convention killing people while leaving clues from The Book of the Law. The characters began an investigation of their own. I presented them with a series of clues, but instead of explaining them I made the players look them up. For instance, the players would find a stanza from The Book and instead of having them roll a History or similar skill and then tell them where the stanza was from, I told them to use the computers in the house and look it up online.
While doing research for the adventure I had come across information in much the same way the players were now doing. Therefore I knew what information they were likely to find and in what order. As they did more research online they began to understand the clues I had handed out earlier. New clues would lead to new searches by the players. At one point I handed them a picture "from a video camera within the convention complex" of the suspect. The players soon thereafter found the same picture online while they were doing research.
In all the players were completely immersed in the adventure. After the game ended one player said it was the most intense game he'd ever played.

These were all techniques to bring the players into the game. As you can see it can be done for any genre or setting. Alot of it consisted of having the players play out what their characters were doing. Also involved was alot of work before game night. Making a game more immersive is extra work, but it really pays off for a better game.

Have you ever used similar techniques?