This week's The Digital Continuum is aimed at discussing practical ways to address this problem. Obviously this is -- as per usual -- my personal opinion taken mostly from my brain and the experience gathering within it.
(For the record, my goal is for stylistic favoritism to remain out of this particular discussion. We all have different preferences on how we'd like our games to look and feel. So with that in mind, all of my suggestions are aimed at implementation ideas over stylistic choices.)
Building a sense of place starts the moment someone begins playing a game. What's the first thing we all see when booting up a new MMO? Yep, the always crowd pleasing opening cinematic. This is a tried and true formula that's used to get people all worked up about a new game and its setting. Most games have an opening cinematic, as though it were some kind of crown jewel, but some don't. I think the ones that refrain from use cinematics actually have the right idea.
"Setting someone up for disappointment -- no matter how trivial -- is a bad first step to transforming them into a fan of any game and its world."
Instead of a fancy high-budget cinematic, a better method is just using the in-game engine. Blizzard seems to have stumbled on this with Wrath of the Lich King, an expansion whose big opening cinematic came off as underwhelming to most people. However, if you mention "WrathGate" to anyone who played through that expansion they'll instantly light up with fond memories. The reason it's so memorable is because of the perception that it's happening in the actual world your character inhabits. We connect well with movie worlds because they still resemble something akin to our own, and MMO worlds matter more when those big epic moments are set in a version of the world our digital personae actually inhabit.
Now rather than having one cinematic flavor for all, a game can tailor a person's first moments in-game to their chosen path. This has the added benefit of giving each player a strong sense of "home" in the game world. Even though I began my life in Elwynn Forest as a Human in World of Warcraft, that little spot in front of the church will always and forever be where it all began. I'll forever have fond memories of that place.