A term that gets bandied around a lot while discussing RPGs is "collaborative world building". D&D has a reputation as a game where the DM has created a world and the players get to run around in this world - in this model, the players may change the world through their actions, but they do not create the world; creation is the sole province of the DM.
One simple way to upend this model is to change how you as a DM react when the players ask questions about the world. If a player is asking if there is a clockmaker in the town, instead of referring to your notes and saying, "no", take this as an opportunity to allow the player to share in the creation of your world. Unless there is a damn good reason not to have a clockmaker in the town, why not say, "Why yes there is. The old man you are asking points you in the direction of Treston the Tinkerer, who makes clocks among other strange devices." The world just got that much richer, a new plot hook was born (maybe Treston makes clockwork automatons as well as grandfather clocks) and the player is that much more involved in the world because the things that he wants to find in the world are there.
Remember that no matter how creative and detailed your vision of the campaign world is, there is always room to open it up to include what the players want as well.
A small example from the 4e game I DMed last Friday: After catching a giant halibut and cleaning it on the beach, a player asked, "Is there anything in the belly of the Halibut that I just gutted? Like a ruby?". Rather than simply saying no outright, I gave a small (5%) chance that there would be something of value in the huge bottomfeeder. I threw the percentile dice out where everyone could see and got a two! Just like that, the player was rewarded for his creativity and a new plot element was born - I told him he found an uncut emerald, so now it has been established that there are emeralds in the area. The halibut was caught in a bay that a huge river washes out into, so in all likelihood the emerald probably was washed down from the mountains in the river. Several plot elements could be born from this moment of collaborative world building, from a prospector discovering more emeralds in the mountains, triggering a mad scramble to collect the valuable gems and possibly drawing the ire of the reclusive inhabitants of the mountain valley being dug up, to a thief attempting to steal the d30 sized uncut gem from the players.
This example also shows another trick that I like to use that makes the players feel less like the DM is minutely controlling every part of the world - the use of the dice in situations that could easily be simply decided by DM fiat. I normally try to resolve random things in my game world by quickly stating the possible outcomes and throwing dice where the players can see. Did someone get knocked unconscious while standing in shallow water? Grab the d6, 1-3 she lands on her face, 4-6 she lands on her back. Little things like this really help to shift the game away from a "the DM controls everything that happens and the players are little more than passive spectators while the DM's plot unfolds" to a "lets play this game together and have fun" model.
And that's my two copper for the day!