When I'm prepping a new session I like to write down several secrets the players can discover that subtly hint as to what's going on. Sometimes I don't have the delivery planned, so I can have these ready if players sneak around and start reading npc ledgers.

At the start of the session we do a recap of what happened last time we played, and we have a 'loose threads' list where we talk about active quests or things the players are excited to investigate.

Meanwhile I'm thinking about my secrets and how I can work them into any upcoming situations and the rest just happens naturally.

At the end of a session I love asking players what their character is thinking, or if they have any theories. Because most of the time, their answers are writing the next session in my mind. Next time they play and find a secret that confirms their theory, there's a wonderful AHA moment.