A little thing for today: A quick and dirty way to connect with a character is by sitting (or walking, or talking, etc...) like the character. If, for example, I'm playing a character that is shy and quiet, sitting with my shoulders hunched will help it. It will make me look always up when talking to other players or the GM, It will make talking harder and much more tiring, and I'll talk less.
It's a simple thing, that just changes everything in the way that you talk or sit or walk or whatever when you game. It helps you, especially when improvising, to switch between characters quickly and effectively. It can help you to switch standings in society, genders, and fantasy races and so on...
I, personally, use this technique whenever I get to play an NPC, and for every scene when playing as a player (like lying down when my character does it, or putting my hands aside without moving them when I'm tied).
How about you? If you had to choose such a technique, what would have been yours?