I tend to be a very visual person. Perhaps it's from my film background, but I have to envision the whole picture when I write. In a film, one of the biggest contributors to mood setting is music. Can you hear "If You Were Here" by the Thompson Twins and not think of Molly Ringwald sitting on the dining room table with Jake Ryan and a birthday cake? Or "Don't You Forget About Me" by Simple Minds and not think of all things "Breakfast Club"?
I cannot suggest enough that when you write, you create a playlist that echoes the different scenes and voices in your story. For example, when I wrote my novel BAND GEEK, I listened to "I've Got A Feelin'" by the Black Eyed Peas the entire time I wrote the Homecoming scene. It was perfect. It was loud and fun and noisy and made me picture a dark gymnasium awash with crepe paper and overly-hormonal teens dancing. It set the mood. And because I tend to write visually, the scene played out in my head much like a movie. The music alone can inspire images and ideas to spring forth. Often, I will hear a song and add it to my playlist for a particular book because I know it will be the perfect thing to listen to when I write the breakup scene, or a kissing scene, or a road trip scene. I try and create a separate playlist for each book I work on, and often I listen to it when I'm driving (since I'm probably schlepping my kids in the car when I'm not writing) in the hopes that it might spark something then too.
Another useful device for setting the writing mood and bringing you deeper into your story is any kind of aromatherapy. For me, it's scented candles. I have an, er, slight addiction to Bath and Body Works scented candles, I confess. Yankee Candle is pretty darn good too. They offer such a variety of unique scents like Winter Night, Mountain Leaves, Sand and Sea, Storm Watch, etc. If you are writing a scene that takes place in the forest, burning a Fresh Balsam candle can make you feel like you're there. And if that doesn't work for you, at least your house is going to smell really really good.
If your story takes place in an environment that is locally accessible to you, go take some pictures of the places you are writing about. Tack them up on a bulletin board and have them around you while you write. If you can't get there but the images you need are available on the internet, Google them and print them out.
In other words, immerse your senses fully in the experience.