A lot of people find the idea of pretending to be someone else for the evening a real thrill. The character you play might be very similar to you, just thrust into a fantasy situation. Or the character in your sexy role play scenario could be very different: bolder, more confident, submissive...even a different age or gender.
The amazing thing about fantasies is that they can be as elaborate as you want them to be. So if costume changes and extravagant sets are your idea of fun, go hard. If you'd rather start off a little more simply, just one prop or accessory can set the mood in exciting ways.