Discussion: “How can I really be part of a new culture?”

I have lived here in the Netherlands for several years, I feel very welcomed, but I am not always included in the gossip or the fine subtleties of interaction. What is the subtext of the culture that I am missing? The economic climate in the world requires you to constantly move at some stage in your life or career. It involves a strong aspect of adapting to foreign environments and cultures.
How did you feel when moving into a new country? Or how do you perceive foreigners in your country? Do you feel welcome? When do you feel really part of a new culture?