There are many effective ways to accomplish this. Research, and interactive technologies like phones and computers are obvious, very effective ways of building a dialogue. There are other forgotten ways of building affinity one on one. Introduce them to the air talent on duty and make it a real experience. Hospitality applies on location as well.
Live broadcasts are a great opportunity to foster loyalty.
There is no better place to let the listener see your attitudes and behavior than at a live remote. Additionally, consider releasing control of the station to the listeners. Obviously you want to maintain control overall, but the perception of a little planned chaos goes a long way toward building loyalty. That means find a compelling and credible positioning statement. Beat it into the ground.