"Sense of Wonder" can be triggered by different things at different times...but to me, at least, it usually revolves around something new showing up. Its easier with someone new to RPGs or who is younger, its much tougher with jaded veterans of gaming.
One of my best moments as a GM came when, in a supers campaign in the Space: 1889 campaign setting (under HERO4th rules), I unveiled the BBEG's supervillain minions, including a guy wearing steam-powered, flamethrowing super armor. Half of the players at the table just stared at me, slack-jawed, for a moment before going "Oh, coooooooool!" I managed to recapture some of that sense of wonder a couple of times during that campaign, but that moment? Time stopped.
As a player, I get that sense when I really get in character...and things happen the way they're supposed to. Not, BTW, that they neccessarily go my way...I thought it was cool when one of my PCs took a header off of a cliff when he busted open a door and missed the rope bridge just to the left of the portal...