A lot of what can enhance the experience of gaming are little things. For example, for the low cost of about 4 dollars and some change, I was able to use the Kinko's poster-maker and produce a large, black and white version of Origin Path chart from Rogue Trader.
I left a mechanical pencil on the paper so you can get an idea of scale. So, for just a few dollars, I was able to create a nice, big visual to focus the players on their first session of character creation. With colored markers, each player will mark off their Origin Path, and we'll be able to immediately see where they intersect. Important for a group with six players. Here's a closer look at the chart.
Another thing I learned from Kinko's - the power of paper. Just by using different kinds of paper for different handouts or sheets in the game can make a big difference. Case in point - the basic character sheet.
You can't really see it in these pictures, but I ran these off at Kinko's for the low price of about one dollar. Anyhow, the character sheets for the players are beige, which are easier on the eyes and lend themselves to a "parchment" sort of feel. They're also printed on card stock, which cost me nothing extra. By printing them on card stock, a character sheet feels a lot more substantial. It doesn't rip or shred easily. It doesn't get holes in it when you erase on it. Overall, it gives the character sheet a better heft and texture. This is not something that you fold up and put in your back pocket. It's much more like holding an official invitation to something.