Hey Ross & Tom,
I really enjoyed episode 41, and I thought I'd start this thread so we can all share our ideas on how to run an investigative game.
As Tom noted in the episode, clues are critical in an investigative game, and if the players miss a clue, (especially a clue pivotal to the story), it can throw the game into a tailspin. Since I'm mostly familiar with Call of Cthulhu and Chaosium's Basic Roleplaying system, I'll base my advice on that.
Clues. If I'm designing a CoC scenario I'll try and tier the clues: Optional, Required, and Critical. Oftentimes, each individual clue will fit into multiple tiers, and depending on how well the investigators succeeded in their Spot Hidden or other investigative skill will determine how much of the clue they get.
If the clue is a major Critical clue, then I make it so that its nearly impossible for the investigators to miss the base information from that clue. For example, if it's critical to the adventure that the investigators know that the missing dilettante was taken to the old shipping yard, then I ensure that they get at least that amount of the clue. If the investigators succeed in their skill check by a certain degree, then maybe they also learn that the missing dilettante was recently seen cavorting with the dock-working scum, and that his "disappearance" may not be what it seems at first glance.
On a side note, the Gumshoe rules were designed around the basis that the investigators never miss the basic clues.