Finding a good location for cosplay photography is essential. The most important thing is to make sure your location that you’re shooting in works for the game or show your cosplayers are from. For this Bioshock shoot, the basement floor of the convention center was an adequate emulation for the underwater facilities in the games.
Find a good location. Make sure things that will show up in the photo's wouldn't be impossible in the source materials (like cars in the background of a cosplay shoot from a show from the 1800s, or computers and advanced technology for a game taking place in the 50s).
Try and find groups of cosplayers. The more people you can find, the more it's going to add to the "creditability" of the shoot, and the more fun poses you can think up.
Take a LOT of pictures. Checking your images on the viewer is important when you're testing lighting, but don't look after every image you take--your camera will be 'busy' while you're looking at it for too long, and you'll probably miss a lot of great shots. Once you're sure of your settings, just keep snapping. Shooting in RAW will also enable you to fix minor errors in your settings later.