Treating each individual client as an INDIVIDUAL! Hands down I think that by showing each client that they are important, that you hear and understand their specific needs and are willing to address them (after all, it is called PERSONAL training), and that you care about them beyond the 30-minute or 1-hour training session, is key!
I answer this question from the perspective of client retention of a personal trainer, not gym membership.
In addition to many great answers already given, I believe it is the ability to modify a client’s workout when unexpected problems arise. Exercisers often fall off the bandwagon when they get hurt and feel they need to stop exercising altogether. Why this is sometimes necessary, it is not the default. Being able to come up with workouts that work around problems and maintain the momentum of exercising has been a client retention toll for me.