One of my favorite games to run is Call of Cthulhu which is traditionally set in the 1920s very often in the United States. I enjoy the era because it's at once so familiar to players but still very different in a lot of was. But here's how I approach running games in historical settings.
- Tone down the institutional racism and sexism. It's no fun for the players if their characters can't fully participate in the adventure or they have to listen to derogatory language. I don't fully ignore it in my campaigns, but don't let it get in the way of fun.
- History is full of people who buck social norms. Try not to pigeonhole characters into narrow roles as defined by the norms of the time period.
To each his own, but this is exactly the opposite of what I recommend.
The biases of a given period make up much of what a period is; to strip it away immediately removes the historical aspect of the setting. More importantly, it eliminates a deep well of roleplaying activity.
For example, I recently ran an occult campaign in Mexico during their civil war. The PCs included a Chinese immigrant and a Native American. That period is very interesting because under the thick layer of civil war were very complex issues involving Mexico's growing Chinese population, the role of Native American groups (a key factor in the conduct of the war itself), the large population of former Negro slaves from the USA and Cuba, the appearance of Mormon colonies, and others.
The thing about institutional racism is that it creates subcultures which are impenetrable by the majority, and which touch all aspects of the majority's interactions. The PCs quickly discovered that while their non-Mexican PCs couldn't share service with the Anglos in many business establishments, those same PCs were welcome in their own ethnic communities, where information was obtainable that would be impossible or at least extremely difficult to secure by other means. Theses sub-classes provided cooks, busboys, cleaners, and all the other services to the majority establishment, and out of self-defense they kept their eyes and ears open, and shared amongst themselves information (and gossip) that often was invaluable to the PCs' investigation.