Do your players take notes? Do they remember campaign events that happened two, six, twelve months ago? Do they remember NPCs relevant to their backgrounds? Do they have backgrounds, or do they just throw a bunch of stats together and slap a name on it? Do they remember the name of the NPC they're working for? Do they remember why they are on a particular adventure, or why it's a bad idea to throw your weight around with the soldiers of the local lord? Do they establish binding ties with NPCs? Do they run with your adventure hooks, or do you have to beat your players over the head with them? Do they pick up on clues you drop regarding campaign events, or do you sigh in disappointment when your players overlook the clues?

If your answer to any of the above is negative, your players might not be as into your campaign as you'd like them to be. I have run into frustration over the past year with players who just seem to be floating along, unengaged with the story and looking for the next fight/magic item/phat loot. It's a subtle thing too: they roleplay their characters well and have fun, but have no sense of continuity or desire to integrate into the campaign setting, preferring to remain aloof outsiders with no loyalties and all options open. They don't take sides in adventure unless forced to by circumstance or enticed by reward. They monitor their character wealth closely and let me know when they are under wealth for their level according to the DMG.

In short, they are playing the game but not experiencing the campaign. For me this is frustrating, but I grin and bear it. They are, after all, having fun. It would be more fun for me if the players got into the setting more, though. If they pieced together Event A with Event B to realize that, with a little creativity, they can set up Event C how they wish, especially if they get the support of various helpful NPCs.

Are you, as a DM, frustrated by your players' detachment from the setting and story you are trying to put forth?