For a truly immersive campaign setting, you need a consistent backdrop. The people your characters meet, the places they visit, and the important items they encounter do not simply disappear when "off-camera." Take a tip from your favorite TV show: Employ continuity for an immersive player experience. Why do the Simpsons, Firefly, Arrested Development, and other great TV shows so effective in creating fan loyalty? They offer more than just an episodic series of adventures; they demonstrate cause and effect.
I have begun using Bento to manage a virtual "cardfile" of NPC's, campaign locations, artifacts, and just about anything else worth saving until later. Bento is an inexpensive yet highly effective Mac application, but you can use whatever database app you prefer.
Here's a screenshot of a sample record:
I'll probably have to change or add some fields to make it universally applicable to all types of in-game objects, but that's the beauty of a program like this; it only takes a few seconds to improve upon my existing layout.
The beauty of a digital tool like this is its searchability. When the PC's enter a town they've visited before and want to speak to the same innkeeper they did last time, you can pull up all records related to a keyword, like the town's name or a descriptor like "innkeeper," and jump right back into character.
Roving NPCs, treasure items, and other resources that may be on the move can also be tracked pretty easily here, too. For example, as the PC's enter, say, the foothills of a certain mountain range, I can look up the name of the range and be reminded of whatever I placed there before, then make the decision on the fly to remove, alter, replace, or reintroduce those resources (and update their records accordingly).
For more information on Bento, visit filemaker.com/bento.