Pulp RPGs or, for that matter, any RPG set in the early- to mid-20th century can pose a problem for those of us who didn't live during those times. Sure, you can read books and watch movies and TV shows set in these eras, and these are very helpful. However, there are two other resources I find very helpful.
First, try listening to old-time radio dramas and pulp serials to get a better feel for the era. Suspense and Escape are two of the best adventure dramas ever produced, although I tend to enjoy Escape more for its action and pacing. Episodes of The Shadow, especially those starring Orson Welles, are truly classic adventures. But for true adventure, nothing beats Voyage of the Scarlet Queen. It's two-fisted action and adventure on the Pacific set just after World War II.
Finally, I recommend I Love a Mystery, especially two of the serials, Bury Your Dead in Arizona and Temple of Vampires. Both combine adventure, mystery, and the supernatural in surprisingly modern ways. To check out these and other shows (all free!) go to http://www.archive.org/details/oldtimeradio.
Or if you prefer packaged OTR shows on CD, I can recommend http://www.otrcat.com/. I've bought several MP3 CDs from this guy, and they all work great.
The other resources is an archive of HD photos, www.shorpy.com. This is an amazing website filled with photos from the 1850s throught the 1970s. For pulp adventurers, there are lots of detailed photos of city streets, old shops and gas stations, cars, planes, trains, old signage, and how people looked and dressed. It's all there for you in stunning clarity. Most of the black and white images are taken from the original negatives, which is the reason the photos look so good. The city street scenes are especially compelling. It's fun to zoom in and pick up detail that would be impossible just looking at a picture in a book. These photos are great aid for players and GMs. Next time, instead of trying to describe a busy street in 1930s NYC, show them what it looked like.