A lot of gamers want to game in the fantastical, but gaming in a contemporary setting is a mirror of real life, so you have to ask the question - what's the point? I've combated that by placing the players in a setting they hardly know from experience, such as a Vietnam game and special ops in South America. Removing the players as far as possible from their real life environment can be as effective as placing them in a fantasy world.
Because the world you are in does not require a lot of imagination (as the details/settings/items are all provided for you) it can be difficult for the GM to maintain that suspension of disbelief. In a fantasy setting, the players know none of it is true and they allow themselves to be immersed in the setting. With contemporary games, the real world can pretty much drag the players 'back to reality', and they can feel the limitations and constrictiveness of normality.
To combat this, I try to keep the game moving at a good pace. This is possible because I don't have to spend time describing the appearance and function of many of the items and locations. If you can't keep the game going with atmosphere then keep it going with plot and action. The problem is, burn-out usually tends to come sooner rather than later because of the pace.
The players may feel restricted in their actions and capabilities because they are within a real world environment where all those real world rules and regulations are going to apply. So, the players will have to be wary of actions involving the police, their own skills, and the impact of their actions (because the GM is more likely to realise the effects in a world they know inside-out). Also, most gaming systems I've come across reflect this real world feel, where there is great danger in over-zealous actions and a high payment (death) for certain mistakes in judgement or hits from weapons. With these kind of restrictions, the players will soon get bored, tired, or frustrated.
My answer to that is to throw out the rule books. Be more forgiving to the players, allow them to do James Bond-style stunts and Indiana Jones-style rescues. The more latitude they are given, the more 'into' the game they will get.
Most games in contemporary settings are a mixture of the real world and the fantastical, involving alien conspiracies, vampires, magic, and great old gods come back to reclaim their world. This is good news because it puts the players within a familiar environment whilst allowing their imaginations to work on the fantasy elements of the game.
However, the game can be limited because the game world limits the exploration of the chosen genre. How many vampires can you dust in different ways before it gets repetitive? How many times can the "truth" about the government conspiracy slip through your fingers before you just give up? How many sacred artifacts do you have to recover before you begin to think "hold on... this is all very familiar"? Once you've defeated the foe and saved the world - where do you go from there?
A great way to get past this problem is to have a deep well of imagination, which is why I started GMing in the first place! Fantasy and Sci-Fi games open up many possibilities in their own realms of fiction, but contemporary games consist of the same setting, the same world, the same attitudes. This can limit the adventure, sure, but it can also help you in your quest for a new idea. After all, the world is set and you already have your guidelines as far as the setting goes - all you have to do is come up with the plot. Sure, the game may be another murder-mystery, but it's the reason and circumstance surrounding the murder that makes it unique.
My favourite idea is turning the world up on its head. A vast plague leaving few survivors, a new Ice Age, a holocaust, an alien invasion, the Rise of the Machines... You take the world and twist it all out of sense and proportion. This works great because then the rules don't apply any more. There's no restrictions on society or law, and you can change the rules to reflect that.