What's the Big Picture? What's going on in this setting that makes it ripe for adventure. What's changing, evolving, declining?
What's the world's culture? What are the cultural analogs? Analogs can be taken from historical earth, current events or fantasy works.
What's the conflict in which the characters are involved? What are the sides? What's wrong?
What physical place does this conflict take place in? What ecology, environment, place?
What's the name of the most important place in this setting? Not the capital or any dumb stuff like that, but THE PLACE where all the action goes down?
What's the name of a faraway place that folks talk about, dream about or mutter under their breath about?
Who are the antagonists? Who is opposing the goals of the characters?
Imagine all of the characters are standing a room/ruin/field with the antagonists or their minions. What do the antagonists want from that meeting? What do the characters want from that meeting?
Alternately, imagine the characters standing at the scene of some great disaster or calamity clearly caused by one of the antagonists. What's the disaster? How did it happen? What are the characters going to do about it right now?
What type of magic exists in this world?
What character stocks are in play in this world? Which are restricted and why?
What cultural traits apply to the characters of this game world? Pick three character traits for each culture.
What's your Resources cycle? 1 month, seasonal, 6 months, annual? What's the game world's currency? Who collects the taxes? What do people do for work? What's the major economy?
Material world: What weapons and armor are available? Are some weapons and armor restricted to certain cultures or character stocks? What property is available? Are resources and gear otherwise restricted?