I used the D&D 3.5e DMG as my guide to building a world for my homebrew game. I started big, naming the continent, countries, capital cities and developing a pantheon*. From that point I began to focus on the country that I planned to start my campaign in, adding some major cities and what they were known for (import/export, type of government, that kind of thing). Once I had my first country developed in a rough draft it was only then that I started to look at ways to map the entire continent, for which I used Hexographer to randomly generate until I found one that I actually liked and could build off of.
From this point I went back to focusing on that first country (most likely point to start a campaign in). I developed the national demographics, style of government, major religious divisions and active/previous conflicts with neighboring countries. I didn't particularly care to delve any deeper as I wanted my players to tell me what they had in mind for the campaign, etc. and felt that any more level of detail would cause some of my hard work to go unused.
Once I had my framework for that one country, I emulated the details from it to the other eight countries, doing my best not to duplicate government types so that we had as diverse of a world...well, as we do here on Earth.
From the point where I had all my countries framed up and my leaders named (King So-and-So, Empress La-Ti-Da) I went back and reviewed all of it to start looking for holes, then plot opportunities.
Finally, I started to really develop the major factions in the world external to the governments and religious organizations, looking for other plot opportunities and goals. From that point forward I've just been adding details as my group has been playing through the campaigns, making sure that I pay special attention not to duplicate names or locations so each place the group goes feels special/unique.
Hope this helps - and one more piece of advice: The process I went through above took weeks of real time (hour here, hour there) to create and develop. Don't put yourself on a timeline for completion if you can possibly help it. I've found that I become more concerned with the deadline than the quality of information that I'm trying to put together.
*Note - The pantheon was a primary driver for the world being in the condition that it was in; one country had already been destroyed in the process of the gods' displeasure displayed to the races. Depending on what you plan in terms of the gods' involvement in the world, this could absolutely wait until much later in your world's development.
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