Music
Unsurprisingly, slowing down the music currently playing will immediately let the player know the game has slowed down. Alternatively, you can play completely different music to indicate a change in the game's pace, or even play no music at all.
A common way to complement changes in music is to play a transition sound to ease into it rather than change soundtracks on a dime. Imagine something like one of these sounds. (Maybe itself even played at a slower or slowing speed.)
Sound Effects
Most likely you'll want to slow these down as well. Also consider adding reverb if you want some sounds to linger for longer.
Motion Blur
As mentioned in another answer, motion blur can be effective to show slowdown stylishly. But be weary of applying it to every moving object. If the screen is busy, this would create more noise, which may or may not be what you're looking for. Seen here, GTA V only applies motion blur to the car's tail lights.
Screen Filters
As also seen from GTA V, slow motion is accompanied by a changing of the tone of the game's colors. Desaturating the colors creates a more mellow vibe that complements a slow-down.
View Focus
This is more game dependent, but if you're slowing down the game so the player can more easily accomplish a task that requires careful maneuvering, consider zooming in to the area where the player needs to focus. Viewtiful Joe is an example of a modest application of zoom, but the effect is notable.
GTA V doesn't change the camera view at all, but it does add a vignette effect which focuses the player on the car by fading out the screen's edges.
