Director Gary Ross decided to shoot the movie on old-fashioned film rather than digitally. He told the New York Times:
I love the look of the film and, for the aesthetic of this movie, I wanted both the richness and the grain that film provides. We were also shooting in very remote (and occasionally hot) locations and I wanted the reliability of film. This movie was shot on a very tight schedule and it rained at least half the days. I didn't want to run the risk of the technical issues that often come with shooting digitally — we simply couldn't afford any delays. Most systems are very reliable but even if this was a remote possibility, we didn't have the room in our schedule to run that risk. (Source)
This is a big production, with lots of special effects and CGI used to create those expensive dramatic shots of the Capitol. But Ross didn't want this to be something shiny and chrome and larger than life. He wanted it to feel gritty and real. So he uses handheld cameras for a lot of the film: the kind of thing documentary crews use for filming real-life action like sporting events and other public events. The set design and costume selection makes grim places like District 12 look drab, plain, and believable.
That strategy even applies to the more surreal parts of the movie, like Caesar Flickerman's television broadcasts, which are supposed to be gaudy and contrived. Ross very carefully shows us the artifice. Look at Flickerman's blank face suddenly sprout a smile when the lights come on, for example.
We can see the difference between what the TV shows us and what really lies behind it all.
Ross said that because so much of the film takes place in the woods, and the viewers are drawn into the action of the Games, he wanted to make sure that the audience keeps in mind that the arena is a totally constructed universe. That's why he created the control room scenes, where you can see the game makers creating all the stuff that happens in the woods (source). It reminds us that this is a futuristic society that's created a fake environment filled with manufactured animals, fires, and other mechanisms of torture.
The occasional appearance of medicines and other lifesaving stuff is jarring—we've been so caught up in Katniss's adventures that it's easy to forget that this is all a game being created and managed by the guys on the outside.