I once read a trick for DM's to give more immersion in the adventure: bath paper in coffee to make it look like ancient paper, and then write on it a message in red-ink calligraphy.
Another one is finding a nice location: friends of mine gathered to play vampires in an octagonal city square nearby, using candles for light (and triggering concerns from the neighbors who thought that a satanic ritual was in progress)...
Do you know other similar interesting tricks to improve the immersion during roleplaying experience ? I guess that games such as vampires or Cthulhu can get the best from it.