I made some note to myself about this episode to reply to later... specifically about the first question about evocative depth and playing in a world "concrete actions we can take as GM's to create that kind of depth" with unanswered questions and tantalizing peaks etc. etc. Some answers included descriptive descriptions and such. Stu mentioned Firefly and how there are unanswered questions (like the Chinese slang), Stork mentioned Star Wars unanswered questions, etc.
Not sure exactly how relevant it is, because it's been a while since I listened to the episode, and so unsure if my notes are off point, but I'll mention a few things:
Background music is a way to create some evocative feels around a scene, event, etc. Of course that can be complex because you don't want it distracting, but choosing those tracks is a bit of an art and science.
Candles for smell could also provide a mood. I have a friend who lights different candles when they play games, even online, just for themselves! But a face-to-face gathering would have that benefit for everyone (as long as it isn't something that people find unpleasant). This is a company that sells at Strategicon; I just bought some this last con to try out: https://www.cantripcandles.com/product-page/dungeon-depths.
I know Stork was talking about descriptions - and it was great the way he was weaving the various senses - but I know that personally as a player I will get overwhelmed at a point about all the descriptive stuff, and I'm more of a collaborative storyteller, wanting to also participate. I've mentioned it before, but Painting the Scene is a great technique where instead of a GM building all the description, you take advantage of the player's imagination (and therefore get their buy-in and investment) by having them answer specific, leading questions that flavor a location or character or other game thing.