Bucky is definitely right about giving them something to hold at the beginning of the show. It is a "cliff hanger" and they want to know what happens.
Your opener needs to be almost as impressive as your closer. You want to start strong because it lets the audience know how the rest of your show will go.
I'm a big believer that you need to start the show ASAP. Don't come out and give a lecture on how you can read minds, how telekinesis works, etc. Start by walking out and tossing frisbees into the audience to select members.
Grab their attention immediately. You can do this by shutting off all the lights when your name is introduced so they only hear your voice. You can grab attention by walking on stage and not saying a word. There are tons of ways to grab attention but the basics is that you need to force a pattern interrupt.
A pattern interrupt is something that engages you because it is out of the ordinary; it is something you're not use to. When you meet someone you shake their hand and say "nice to meet you." But a pattern interrupt would be something like not shaking their hand when they extend theirs and then saying, "I heard a few things about you," and walking off. This will cause their mind to race sooooo fast that they will surely remember you.
Start your show with a pattern interrupt.
Here is my opener:http://www.youtube.com/watch?v=a__EOQ7YWdc
And the reason Derren Brown is so believable is because of persuasion techniques. When it comes to persuasion, you don't go head on against someone's beliefs. You have to mix truth with lies. Derren does this by talking about body language, nlp, etc...those are believable. But when a mentalist says he can read your mind like an open book then you think of X-men and things from movies...it is almost insulting to try to convince someone that you can really read minds nowadays. Times have changed and entertainers need to change with it.
It is more believable to watch someone guess the name of your first kiss if they imply that they're looking at how your eyes move versus looking into your soul. The key is to imply, not say. If you say, "I'm going to look at your eye movements to figure out the name you're thinking of" then they won't believe you. Instead, you say, "imagine the name written across here and try to spell it out in your head. Don't move your eyes but try to spell it out." If you do it that way then you are planting the "method" in their head that you're looking at their eyes.
Combine truth with lies and you will easily get believers