The best way i ever experienced was a DM running a number of one-to-one gaming sessions in parallel with each of the players in the group. I played my character for four or five wonderful afternoons before he met the first other member of the group, who also had a similar amount of sessions. While we all knew the other players, we agreed not to talk about our experience before our characters met.
We all had time to immerse in that world, build up the character and get a few levels, despite those sessions not really running a module - just good old improvised role playing and random encounters.
The last solo session involved a lot of telephone calls of the DM to the other characters player.
