Depth and ambience. What a wonderfull and fun subject!
Here's a few bits you can experiment with. Using combinations of various delay and reverb effects, often it is more effective and flexible to apply them to the individual tracks.
A lot of different effects can be combined sparingly so they are not heard as seperate effects, but add to the air and space you might be looking for.
-Short delays, 10-30 ms, adding body (or width if paned)
-40-70 ms-begining to add depth but not noticed as 'echo' if not too loud.
-70-120-getting into the echo range, but still can be tucked back behind the track to add a deeper layer (Think of the different ms settings as reflections off your mixes sound stage walls- some instruments get tight, close ambience, others get a bigger 'room'. Each ms equal to about one foot away.)
-Eq on the delays can taylor their effect. -roll off some highs to make them less easily heard, for less edge, ect. less lows can help keep the low end clutter down.
-Think of your reverb and echo times, levels and eq, as density and brightness controls in your mix.
-Not all reverb needs to be big and spacious. One of my favorite subtle 'air' patches is a medium-small chamber (19 meters/.9 sec. r/t) that starts with 60ms pre-delay, and a pre filter that cuts out all the the lows below 2khz. Its short enough not to get in the way, but if you push it, the pre-delay becomes your echo/tempo setting. And if you lower the filter point, it's like a seperate control of the lower reverb's volume. (Initially, I was trying to mimic that bright ambience found on some of the old 60's Motown hits, but ended up finding it very usefull on all sorts of mixes.

-Micing distance is generally the first 'depth' control. You can also try sending your midi track(s) out through a speaker, and recording it in a room for natural ambience.
The effects and building the depth into the mix is, I think one of the most enjoyable (and sometimes hardest) part of the mix. Hope this helps. Have fun!
See ya!