There's a lot of resources out there (as the previous posts have revealed), but the key thing I'd recommend (if your group hasn't done this already), is to sit down & talk about your ideas for the game.
Essentially, before rolling any dice, try brainstorming some ideas for the setting. Perhaps begin by mentioning elements you like from other games you've played, or from genre-related fiction (books, movies, etc.).
These ideas can help shape your future campaign setting, because the environment in which a culture evolves has a great impact on how that culture evolves (style of dress, habits, beliefs, technology, etc).
And, as nice as it is to have the entire setting developed off the bat, there is something to be said for having other areas generally undefined until necessary—it allows room for improvisation or modification.
There are a few (general) questions that you may want to answer before goign full-tilt with the process, as well, so you can establish a baseline of How Things Work in this new setting:
- The power of the Divine: Is there one monolithic pantheon of deities that preside over everything, or are there multiple pantheons based on race/region/etc.? If it's the latter, how do they interact?
- Arcane matters: How is Arcane magic viewed? Is it accepted? Embraced? Rejected? Persecuted? Rinse & repeat this idea for other non-mundane methods of power (primal, psionic, technology, etc.).
- What's the Story?: What's the big things you want to have/achieve in the setting? Is it a grim, dark world dragging itself from the brink of oblivion? Is the world entering a Renaissance of sorts, achieving new heights of invention & knowledge? etc.
- The Good, the Bad, and the Ugly: Who're the good guys? Bad guys? Not-so-nice guys? Why are they that way? Is there a hard & fast clear-cut definition of good & evil, or does it all depend on a certain point of view?
These things can help guide how you put things on the map, as well as form the map itself. If you have an idea of a desert-dwelling magic-hating culture at war with a seafaring magic-using nation, then you had best account for that dynamic on your world map.
Just something to consider (if you haven't already).