I think it happens whenever the party is expecting some big (item, person, event, other). They're like, "Oh, this is another of the the DM's big important things. That's like the thirtieth one." When the (item, person, event, other) starts to obviously affect the game, I think that's what impresses the party. Also, if you can set up the situation beforehand, that can help.
I had a big temple in one of my games, the biggest in the world. Dedicated to the most important god. Created hundreds of years ago by the finest dwarven crafters. I described it in not excessive detail, but enough so the party would get the gist of the place. Some of the most important Clerics and Paladins stayed there, as well as some very important Wizards (it was a god of magic). Hugely important. The party was impressed, I think, but not overly. This sort of thing happens whenever one of our GMs runs a game. It's normal. There's always a big important site. Well, they spent time there, met people, did stuff they needed to do. They went on a few adventures and it was a base. They get back from their second or third adventure and the place is destroyed. Nothing but rubble left on the ground. There's a sound of crying in the distance. People are climbing over the rubble, looking for survivors. And that's where I ended the day's session.
That got to them.