Most students do not have the financial background to see why the material is relevant. One way the application of the material can be seen is with the use of examples. These examples can be made up or can be from real world companies. These real world examples are the reason why I require students to get the Wall Street Journal as well as why I publish a weekly newsletter of current Finance related news stories. Obviously how you teach is a function of the class.
Some techniques are general enough to be used for any class.
Others depend on the course as well as the students. For example, lower level classes need more structure and thus will probably rely more on a traditional text book, whereas upper levels may do very well without a text and relying on web-notes instead. At certain schools, students have learned to expect that Finance is a demanding course. This is then advantageous to the teacher. If such a culture is not in place at your school, it may well behoove you to work with others in the department to set higher standards.