If EQ and pan are the most useful tools to create an “open” mix where instruments don’t step on each other’s frequency or placement in the stereo field, a mix wouldn’t sound alive without the use of more subtle depth related effects and techniques.
Effects like reverb and echo emulate natural sonic phenomenons related to distance – which is what aural depth related is all about – although, often the natural reverb of really good sounding rooms works better for certain instruments (drums in particular).
Before you start mixing a song, try to visualize your “depth” range (see image above, credit here). While a punchy, fast rock song might want to “exist” in a rather shallow space to enhance that “in your face” feeling, slower acoustic genres may require a more realistic approach, while “out there” psychedelic tunes often crave deeper soundscapes or huge reverbs that purposely swallow melodies and lyrics.
Always place your reverbs with caution though, and create contrast between elements, or things can get wishy-washy very easily. If you want to get an instrument to sound far away, apply some reverb or echo to it (or both) – the longer their tales, the bigger the distance. Since we perceive far away sounds also quieter and duller than close ones, roll off some high frequencies, and keep them at a low volume and under control with a limiter.
If you want an instrument to sound close to your ears, but still within its own space, try a short delay, and add some aggressive compression so that no parts of it get lost in the mix.
These tips are just scratching the surface of these effects that can feature many parameters. A subtle use of them, intended to emulate natural reverberation, can make the mix sounds as if the band was playing right in front of you, while heavier handed, more creative techniques adopted by more experimental artists can recreate blurred atmospheres and sci-fi sonic scenarios.
Check out this useful video about the use of reverb.