I wrote a bit about the question of whether or not 4th Edition D&D (and by implication, other 'advanced' RPG systems) make it harder to add depth to a role-playing campaign. My feeling is that it doesn't.
This kind of begs the question, though -- why do you want depth in your campaign?
I also provided a fairly informal definition of campaign depth in the previous post, but one I think works for our purposes: campaign depth is the sense that the world itself changes when the PCs aren't looking at it. Sometimes it'll change as a result of player actions, either for good (a popular PC cleric of a certain deity founds a shrine in a town, then returns later to discover the shrine has been maintained and has even had a church grow up around it) or for ill (after exterminating the kobolds in the caves outside of town, the PCs depart the area, then return later to find that the giants who had been capturing kobolds to use as slaves are now preying on the local halfling population instead). Sometimes, though, the campaign will change slightly even without any overt PC activity; the PCs may even investigate the change, leading to an adventure.
What kind of benefit is that to a D&D campaign?
Well, some of the benefits should be obvious just from reading the examples above: some players will get excited when they see that their actions can have a lasting effect on the campaign world, which both increases their enjoyment of the game and gives them additional ideas for ways to have an impact on the world. Other players may not care so much about their personal impact, but will find satisfaction seeing that the campaign allows their characters to choose adventure hooks rather than feeling forced down a specific path of encounters.
To my mind, the biggest benefit of depth in a campaign is that it adds verisimilitude. Verisimilitude is, to paraphrase the dictionary definition, the sense of truth; when a setting has verisimilitude, the things that happen there seem plausible and reasonable, even if they're not strictly realistic. So when your players head back to the adventuring shop they've refitted at since second level and discover that the shopkeep's daughter, who'd flirted with them when they'd visited previously, married the butcher's son and the shopkeep is now a grandfather, some of them will chuckle, nod, or even have their characters discuss the situation with the shopkeep, while others will simply fill in their character inventories and wait until it's time to head back into the wilderness.
It's worth pointing out, in the midst of all this celebration of the joys of campaign depth, the things that depth can't do:
- Depth can't replace understanding of the rules. If your players enjoy passing through town, but seem frustrated every time they enter a combat or skill challenge because the rules are getting in the way, maybe you'd be better off swapping your D&D campaign for a group story circle. It's a fallacy to say that every D&D player would rather be swinging a sword or casting a spell than role-playing, but those skills and powers are on the character sheet for a reason.
- Depth can't overcome dull adventure and encounter design. No matter how faithfully you've set up your dungeon ecology, if the entire six-level complex is composed of encounters with the same four monsters from Monster Manual 2, it's going to get old.
- Depth can't overcome fundamental disagreements between players, or between the players and DM, over what the campaign should be about. In the former case, depth can help mitigate the problem, for a while anyway, by giving each player what they want for some period of time, but if your campaign features at least one unhappy player at all times (because that player is 'stuck' doing something they don't enjoy), then the campaign is still going to be in trouble in the long run. In the latter case, depth can't even mitigate the problem, because the game the DM is trying to run, no matter how much depth it has, isn't the game that the players ultimately want to play.
What depth ultimately does is take a game from 'decent' to 'let's give it a few more sessions', and from 'good' to 'that game we always talk about to a new player'. It doesn't hurt your reputation as a DM, either. If you're a gamer, then those things alone may be enough.