One of my filmmaking friends once asked me how I got that "film" look when we were both using identical cameras (Canon HV20). He said his footage looked like typical "home video", whereas mine had a more cinematic look (comparatively speaking, that is). He didn't believe me when I said I was using the same camera he was.
As Knightly said, it is a combination of many things. Here were my basic suggestions to him for shooting with a consumer camcorder:
1.) Turn off the auto-iris / auto-focus! Nothing screams "amateur" like a constantly pulsating iris or chasing focus. Plan your shots and light it right so that won't happen in the first place. And if you don't have remote focus or can't do it smoothly, then plan your shot so the camera/talent distance remains constant. Just takes planning and work.
2.) Back up and zoom in. He was shooting with the camera right in the actor's face, causing lens distortion. If that's not the intended look and you just have a consumer camera, then back up and zoom in. Gives more natural proportions to faces and gives less DOF. Simple and effective.
3.) Hold the camera steady! Or better yet, use a tripod. Smooth camera moves that don't draw attention to themselves is something to always strive for. That doesn't mean you can't shoot handheld. Just use that only when the scene and story call for it.
4.) Record good audio. For me, the one thing that makes a film a "film" is a great soundtrack. As George Lucas famously said, "Sound is 50% of the film." I agree with him. If you run around with an on-camera mic, it's virtually impossible to get decent audio. Separate the mic from the camera. Again, nothing sounds more "amateur" than hearing the camera jostling around in your hand.
5.) Shoot some close-ups. Or at least, vary the focal length, depending on your subject matter. Study photography and practice with a still camera to learn composition, framing, focal lengths, etc. and how they each communicate.
6.) If you are forced to shoot in your own house, straighten up before filming. And get your dog/cat out of the shot unless they are supposed to be there. Seeing a dog stare at the camera just draws attention to the camera, so clear the room.
A lot of this is common sense, but it's very easy to overlook if you are just starting out. It will go a long way in giving you a more cinematic look. You can then do some post-production tricks that will help further.