Of all the ways to let your players customize their RPG experience, letting them effect the world is the most daunting. It also happens to be the one customization every player enters an RPG hoping to make, whether they know it or not.
Role playing games can have many different goals, but they’re based around the concept of telling a story. Stories, in turn, tend to be based around characters and their affects on the world. Even in stories that are based around internal conflict the author has to allow the characters personal descisions to have a lasting affect on the setting.
In the same way, if your RPG players spend a campaign arc rescuing a princess, only to have her killed offscreen in the next session, they will get discouraged. The more freedom your players have, and the more you allow thier actions to change the game world, the more invested they will have to be in the game every time they play.
If characters support a kingdom, make a note that that kingdom should prosper more, or at least be better protected, than its neighbors. If players make a base it should endure, even if the ownership changes, and if they make allies those allies should be reliable.
I haven’t done it yet, but I’ve always wanted to run a campaign, then run a second one set in the same world. Even without running the second campaign, I think it’s helpfull to keep the question in the back of your mind: “How can we change our world this game session?”