Pictures, Songs and Maps
Ten minutes of Googling and you can have enough images to illustrate an entire campaign. Snapshots of monasteries, cruise ship schematics, presidential photographs, cathedral floor plans. Twenty minutes of iTunes or Spotify and you've built a period-appropriate jazz soundtrack for your players shoot up gin joints in Chicago or investigate Punk clubs in 1970s Detroit. Best of all, you can snag maps of historic cities and re-label them to fit your needs, so your players can plan their advance street-by-street. These little artifacts will fire up your players' imaginations like nothing else. For one Spycraft campaign, I printed photos of Khrushchev giving a speech and circled random officers in the background as targets. For another game, I handed out a portfolio that had maps of 16th century Florence along with period sketches of major buildings. None of these took long to prepare, but my players clung to them like they were precious objects.
Continuity vs. Alienation
Historical fiction tends to play with our expectations about a period, both highlighting the similarities with our own time and making us confront the strangeness of an alien culture. I like to call these opposing forces as continuity and alienation. While every work of historical storytelling has both of these elements, a single work will usually choose one above the other for dramatic effect.
Works that privilege continuity tend to make us empathetic with the characters and their struggles. This can either be through putting them in situations that are universal, proving people are the same across eras (the political machinations and stresses of the presidency in Lincoln, for example) or alternately, highlight the beginning of trends, ideas and inventions that continue to the present day. The best example of the latter is the film L.A. Confidential, which abandons almost every symbol of the 1950s buried in the popular consciousness - from poodle skirts to the Cold War - in favor of 1990s-resonant issues like highway construction, police brutality, institutional racism and celebrity culture. The effect is that the 1950s of L.A. Confidential feels very modern, the birth of our current era rather than something older and separate. That helps us as an audience connect to the plot, both because we recognize the parallels and because we realize we're seeing the genesis of our own way of life.
Alienation, by contrast, simulates culture shock by confronting the player with the strangeness of a period. In these narratives, things the characters consider "normal" social conduct, standards of hygiene or belief systems come across as foreign or even barbaric. Alienation narratives take everything weird or different about a period and throw it right in the audience's face. Uberto Eco's novels, like The Name of the Rose, fit into this category. So does Django Unchained and HBO's Deadwood and Rome. All of these works focus on the most extreme aspects of their period in order to deliver a world that pushes the audience's boundaries and upsets their comfortable assumptions. While stories that focus on continuity adjust the world to suit the audience, in alienation narratives the audience has to adjust to the world.
When designing a historical adventure, it's important to think about whether you want players to feel at home in the era or challenged by it. Both can be fun and interesting - and you can mix-and-match them like Neal Stephenson does in the Baroque Cycle - but be mindful of what you're using and why.
Adapting Players to Historical Settings
Some players can find historical settings constrictive or even offensive, but you can take measures to mitigate this. The first step is to make sure you yourself understand the setting. There's no need to read multiple books on the period (though you can certainly do so) but it's generally advisable to at least do a little research online, spot-read a few chapters from a history book, take in a documentary or two, or watch a movie about the period before you start writing the adventure. The next step is to get the players comfortable with the period. In my experience, it's a bad idea to assign reading material - no one ever looks at it - but you can hand out packets that contain a timeline of major events, a list of well-known politicians and celebrities, and a glossary of period slang. The latter is easy to find online, and a certain type of player really jumps at the chance to spout words like "juice joint" or "horsefeathers!". If you really want to get everyone on the same page, host a party where you all watch a movie or TV show that features the era. The ideal time to do this is before the players write their characters, so they know the world they'll be inhabiting.
The reason you want to introduce this framework is that inevitably one of your players is going to chafe under the restrictions. I once ran a Call of Cthulhu game where all the players were students at Miskatonic University in 1927. This led to some conflict with one of my players over the restrictions her character fell under - she couldn't join the all-male shooting team, for instance, and the gender-separate living arrangements meant that she had to sneak past university chaperones to engage in any late-night plotting in the men's dorm. Similarly, players who choose to play ethnic minorities will face prejudice during certain times in history, which can make both players and GMs uncomfortable. If this happens, suggest that the player channel their frustration into their character by joining in-game feminism or civil rights societies - or maybe the head of the skeet shooting squad thinks the no-girls-allowed policy is stupid and bucks the trend by letting her practice with the team. Now, instead of being left out, that player is a feminist pioneer - the first woman on the Miskatonic Skeet Team. This acknowledges that prejudice is present in the world, but doesn't make the player feel punished for choosing a minority character. However, you should never let sexism or racism become so insurmountable as to keep players from choosing the character they want - if either element makes you or your group uncomfortable, tone it way down or drop it completely. Historical fidelity is great, but everyone's here to have fun and tell stories, not simulate the worst parts of humanity's past.