The distant rumbling of thunder.
The steady drip, drip, drip of water inside a darkened cave.
The cheerful sounds of a big band radio broadcast serving as an ironic soundtrack while an investigator is ripped limb from limb by...something.
One of the most effective ways to increase the immersiveness of a game, either pen and paper or live action, is to judiciously incorporate sound effects and music. Thanks to the incredible growth of desktop computing power even the most modest systems are capable of playing back high-quality sound on demand. More importantly, they have enough horsepower to make creating multi-track audio easier than ever before.
For basic editing one of the best tools available is Audacity, an open source program that's available without charge for a number of popular operating systems. The learning curve isn't too challenging and you'll find it has some powerful standard features as well as a library of downloadable effects.
Spend some time experimenting with the tutorials available at the website and you'll soon be capable of editing together feature length programs, creating new sound effects using existing source files, or recreating the sound of a period wax cylinder.