I like to show my students that they should feel comfortable enough to ask questions if they don't understand. I like to talk directly to them when answering their question so they don't feel embarassed or nervous. I always tell my students that "there is no such thing as a stupid question, just one not asked."
I also try to give real-life experiences to the topic I am talking about and ask them what I could have done differently. I keeps them engaged and they retain the information more.
