About five years ago, I started with a single character, by the name of Galethorn. From there, I started thinking about writing a story about him, so I started thinking about where the story would be set, who the other characters would be, and so on. The story ultimately shriveled and died, but the characters and setting remained in my mind.
Zoom forward three years, to when I got the 3e DMG, and started preparing to DM a game. I read over the World Building section and realized that I already had a world, and all it needed was fleshing out. I worked on it for quite a while, and ended up with a half-decent bare-bones basis for a world. Sure, the map was terrible, I hadn't named all sorts of places, and I wasn't quite sure what various places looked like, but it was a world none the less.
My friends and I played a campaign in that setting the following fall, winter, and spring, but ultimately gave up on it in favor of a Forgotten Realms campaign with a more experienced DM. This lasted most of last summer, and ended around the point that our characters were too powerful to be fun.
After that, we spent a while with me DMing an LOTR game, which is still 'going', but is on hiatus. We also played a few games of D20 Star Wars with the same DM who did the FR campaign.
In the mean time, I was working on a new incarnation of the story that had gotten my setting started, and in the process managed to make a really nice world map, name everything, flesh out the various regions, and come up with a deep and interesting world history. Some time early this year, I realized that I was ready to start a new campaign, as I had gotten quite a lot of DMing experience and learned a lot about my players since the last campaign I had started.
So far, things are going well. I've done two introductory adventures (a mystery in the forest, and a tourney), and I'm working on getting the campaign part of it started in the next session. I'm working on player handouts as we speak.