Players stay interested in a game that changes, evolves, presents new opportunities and new challenges. Plan your adventure sessions to move the story along. Strike the right balance in pacing to keep up momentum without rushing the characters through the plot. Escalate challenges, antagonists, obstacles, over time. Don’t have your party facing opponents that ceased to be a real threat several levels ago. Always give the party at least one thing to do at any given time.
Characters should gain or lose something by the end of every game session. At least, they will gain experience from having overcome a challenge. At most, they will have lost their life. If players have not needed to update details on their character sheet after two or three sessions, the DM’s adventures have been inadequate. Generate conflict in your game that changes the characters’ fortunes. Characters grow from their victories and defeats. Make sure that characters level up on a regular basis (but not frequently). As a character develops, the player’s interest in that character grows.
The realm is a dynamic place. It should change, react, adapt to plot developments and the outcome of characters’ actions. Their actions (major and minor, direct and indirect) must have “real-world” consequences. Develop relationships of all kinds between characters and the NPC’s in your realm. Account for the growth of characters’ prestige, fame, notoriety. Deepen the characters’ involvement in the setting.
Players should not get bored with their character or their character’s surroundings. New opportunities and new threats keep things interesting. An evolving plot provides direction and the potential for exploration. Characters need to change over time; gaining equipment, developing new skills, acquiring or losing treasure, defeating old foes and earning new ones. Game sessions must never be “more of the same”.