To start I always look into the feel and theme elements I want to bring in, and think of ways to do so quietly or obviously. I lay out the goals of the groups and individuals involved, and focus some on the NPCs and series events that are likely to be focal and what they might do that would be surprising.
If there are requests or big character features, I think about how they might manifest and often ask the players to roughly describe how they see their character and the world if I don't already know. Basically gets some active ingredients ready to interact with what the players DO, but know them well enough to fill in some ambiance.
A flaw I often reproduce is that the opening events or information goes on long enough to paralyze the players into listening mode.
Last, this is all way more suited to STing repeatedly over several sessions which works less well on a MU*.
ETA: I generally have templates in mind as to NPC stats, and characters with reasonable related skills can usually see if someone is an amateur, solid or expert etc. Variance from there gives NPCs their roles, their specific reps, and perhaps some surprises or twists in their actions and reactions.
I am a rat bastard when it comes to the players deciding something is true. If I made a mundane serial killer, no amount of thinking they are a spirit driven serial killer will make me add that in. If players show interest in areas other than the few I have laid out in the skeleton, I absolutely go with it. I also let them know when they think they are on track or not. The characters have skills the players do not, and the players are there for the interesting bits (defined by the current players at hand).
I knew a GM who when running mysteries listened to the players and whichever solution they were most sure of, that was the answer. Every time. I find that level of "listen to your players' to be in the same realm as "I shot you." "No you missed." Use their interest or thoughts later if they don'tr fit in now.