I find that a great amount of immersion can be gained by introducing some kind of 3D mapping element to the game. In this video, I talk about a few cheap and simple 3D mapping options that you can use to build maps on the fly. Since not everyone can check out a video at work or on their phones, here is a brief transcription of the video with some screenshots.
3D mapping brings the action of the game off of the paper and into the physical space that you and your players are interacting with. It engages the players and makes one more physical element for them to interact with. While big fancy and epic physical scenery (like the kind you find in wargaming terrain ) is awesome, it doesn’t need to be that complex or dedicated use. You can do it cheap, easy, reusable, and reconfigurable. Here’s how.
Wooden Building Blocks
The blocks from wooden building block games, otherwise known as Jenga, are great to use for mapping. They are easy to move about, great to transport, and if you go for the off brand at a dollar store or cheap store, you can get about 60 to 80 for 3 or 4 bucks, like this giant bucketfull.
For under 15 bucks, you can keep building all night without having to undo sections of the map.
Painted Wooden Building Blocks
With just a bit more work, you can really make these blocks stand out. Coat the blocks with a simple can of grey (or any other color) spray paint and you can draw patterns on it with a sharpie or thin brush. Suddenly, you’ve got dungeon walls that add a layer of depth to the terrain and your game.
Do them in beige or white for modern games, draw different patterns or cover them in silver for futuristic games and you’ve got a whole arsenal of walls for any scenario. The beauty of this method is that you can paint specific things on them for one night’s worth of gaming. Since it is so cheap and doesn’t take a lot of time, you won’t feel bad drawing one with specific things that might not be used again.
1 Inch Tiles
Wooden building blocks, painted or unpainted, are a great tool, but here is another one I recently discovered. Most hardware stores sell 1 inch tile in sheets of about 1 foot by 1 foot. These are small durable tiles that are easy to peel off of their backing and use as pre-gridded floors. You can get them in many colors and thicknesses, and they run about 6 to 10 dollars per square foot.
You can keep the sheets whole and put index cards, printed walls, etc. inbetween the cracks and build dungeons instantly as well. It is just another way to use them, and it makes for an incredibly configurable option. 
The best thing about these methods, to me, is that they are incredibly portable. Throw a bunch of blocks and tiles it into a small box and you can carry an entire 3d mapping system with you anywhere you go.
As I said before, doing things like this is great because they bring it off the paper. Your players will be more engaged, more interactive, and more immersed into the game. Hopefully these techniques help. Drop your thoughts in our comments. We’d love to hear about your tools for 3D mapping or your thoughts on how to improve this technique.