I've incorporated two ideas into my game that confused my players a little bit. Both are stolen ideas from excellent GMs - Lowell and Kip. One idea my players know is in play (Kip's), the other (Lowell's), not so much.
Quick snapshot of my game - Firefly/Serenity 'verse five years later, using Cinematic Unisystem rules with Andrew Peregrine's Spacefarers and Prairie Folk ideas from ESP vol. 1. The cast is the crew and a passenger aboard a trading vessel with the captain being an NPC. So, these people spend a lot of time together.
During character creation, I handed each of the players two note cards. They were instructed to fill them out during the character creation process. On one card, they had to write something only their best friend would know. On the second card, they had to write down something that no one else would know. They turned these in to me, I jotted down notes about each one, and gave them back to their owners. I let them sit on these cards for two hours before telling what we would be doing with them.
Right before game play, I told everyone to take their "friend" card and pass it to the person to their right. This illicited groans from some of them. However, the result was that they immediately began interacting with each other, even if it was out of character.
The other card, they keep. I'll be using those for future plot lines. Many of their secrets will tie-in very well together.
The other idea may not originally be Lowell's, but he's the first GM I've seen use it in practice ~
Never say no, if you can help it, to the players.
If the players need or want something in game, a device, a weapon, a plot move, whatever, and it doesn't hurt anything, I let them have it. Sure, it comes with the usual caveat of, "If you get this really big gun, the bad guys will have access to the same thing." However, unless it's a rare item or moves the plot in a direction that hurts other players or future plot points, I let them have it.
This confused the youngest player at the table when he wanted a new gun that would do more damage. He wasn't asking for anything crazy (like a .45 automag), he just wanted to upgrade from a 9mm to a .45. They were in a city where such a thing would be easy to get. There is nothing that will be hurt in-game by him feeling more protected (his character took a round from an M-16 equivelent). The party had also just been paid very well, meaning no shortage of funds.
He kept driving at the fact that he had the money to pay for it and was I sure such a thing was available. He was very confused by the part where I didn't care if he accounted for the money or not. He wasn't as confused by the availability of the weaspons. After all, we're talking the Old (sci-fi) West. Why wouldn't a .45 handgun be available?
Another player was more interested in a sonic weapon. She asked near the end of the game. I told her I didn't have stats, but that I would get her stats before our next game. (Note to self: create stats, use Endurance Damage.) I also told her it would be no problem for her to get such a weapon, utilizing her underground contacts. I think it surprised her how quickly I said, "Yes." Settings-wise, the Alliance uses sonic weapons in the Core. They wouldn't want bullets flying around and hurting any of those pretty citizens.
I count all of the above situations as wins. The players are getting more out of the game, whether they realize it or not, and my life isn't any more difficult as a GM.