I think most Dungeon Masters like their players to feel like they are part of the world (sometimes a simple dungeon delve can be nice, though). It can apply to any RPG system, but having players create a connection to the world makes the stakes seem more real. Over my time trying to create this connection I have seen a few ways to achieve this effect, which I list below.
Ways to Make Players Feel Like They Are Part of the World
- Remember their connections. If the players actively try to link themselves to the world and just love role-playing, the Dungeon Master's job becomes much easier. There will be some players that will try to interact or even join groups within the world. To keep this as a valid option (it is very common for clerics to wish to be part of a temple or the backgrounds and bonds chosen during character creation in 5th), it becomes important to remember the connections players have made. Otherwise, they begin to feel that the connections they made don't matter.
- Players need to have choice. They need to feel that what they decide to do matters. The scale of their decisions can vary, but still there needs to be choices. Otherwise, they aren't really playing their characters but are just being carried by the plot.
- Decisions made need to have consequences when it makes sense to. This means that as a Dungeon Master, I need to take note of important decisions that occur and make sure that consequences follow. Sometimes, the consequences should be quick. Sometimes, they should be far reaching that never really leave the party. At the same time, the success of the campaign shouldn't rest on the breakfast they ate 3 months ago (unless it was poisoned or something). The consequences should be present when they make sense, and when present should make sense.
- Players are actors, but they shouldn't be the only ones. Actions should happen even without their presence. Otherwise, the world is static and merely their sandbox. Instead, the NPCs need to make their own choices and have their own character and motives. Especially when trying this for the first time, it can feel awkward and weird to play an NPC, but they are a necessary part of a good story line. This may seem like it clashes with #2, but I would argue it doesn't. Sometimes the choice itself is important (why did I come? For money? For glory? Because it was the right thing to do? The result is the same, but the choice still matters). It also means that even though players make a choice, the world and those who live in it should react and sometimes even surprise the players. Their goals shouldn't be the only ones that exist.
- The internal logic needs to remain consistent. Breaking the internal logic of the world when it doesn't make sense creates a massive break of immersion. This is an easy one to say, but the actual execution demands finesse.
If there is I missed or someone disagrees with anything I said, feel free to comment. Despite my list, creating that connection is an art and sometimes a little bit of luck. The above also work better as combinations as one method by itself really isn't enough. At the same time, some methods can conflict with each other and maintaining the right balance is difficult. What works for one group may horribly fail for another.