Okay, I just ran into this last night with my Wushu game (Rock Band Zombie Apocalypse). Before it started, I had clued them in to the Zombie Apocalypse scenario.
Shortly into the game, I describe that rather clamming looking individuals are drunkly staggering into the show. What do you do?
*silence*
You see more and more of them entering into the concert hall. Upon closer inspection, you see that they've started eating the people at your concert. What do you do?
*silence*
You get the feeling that after they're done, they might eat you.
"Hey guys, maybe we should leave."
Okay, they've piled on-stage. You are surrounded by rancid-smelling drunks. What will you do?
*Game finally starts to pick up*
Even after that, it wasn't until the second hour of the game that they really got into it.