Great discussion! This topic is especially interesting to me, since I'm currently writing and running a series of Cthulhu scenarios set during the American Civil War. Here are a couple of things that I've thought of that might be good additions to games set in wartime:
1. For my first scenario, all of the Investigators are wounded Confederate veterans. I created several different types of terrible period-appropriate war wounds (amputated hands, head injuries, unremovable shrapnel) and assigned stat effects to each one, such as penalties to Spot Hidden for missing eyes or a penalty against using rifles with a missing hand. Then, at the beginning of the scenario, I had each player roll randomly to see which wound his investigator had. That really seemed to help the players develop a connection to their character, and also introduced the theme of the randomness of warfare's suffering.
2. One thing that I've found in researching my scenarios is that, depending on the era, the investigators' attitudes toward war might be very different from what we might expect from our modern position. For example, while we tend to think of World War I very pessimistically as a wasteful tragedy, that view didn't become common among soldiers until the war had been going on for some time. At first, there was widespread patriotic fervor. Similarly, in the Civil War, soldiers on both sides tended to have very idealistic reasons for wanting to fight. It's very different, and interesting to me, to have that sort of idealism confront the horrors of the Mythos.
If you're interested in my scenarios, there's an Actual Play recording of the first one, "He Calls Me by the Thunder," up on the Role Playing Public Radio site:
http://actualplay.roleplayingpublicradi ... e-thunder/