First I build what I want my campaign to be.
Epic?
Morality Play?
Standard DND Playground?
Then, I look at what I'm making, and design a backdrop that will help foster that feeling in the world.
Epic- Think big, sweeping scenery... large and powerful nations not so muddled in bureaucracy as opposing thoughts on what to do with Big Issues (like say, a Ring of Power in LOTR)
Morality Play- How can I have the pantheon reflect the virtues of the heroes and villains... how can the very world itself reflect the ideals of the time? Think broken lands in the hands of broken kings, and "good" civilizations reflecting just that.
Standard DND Playground- Ok, towns, capitals, villages, forests of monsters, mountains of monsters, dungeons and ruins here and here. Power centers, foils, plot droppers, magic shops, and reflecting the established pantheons and alignments.
Those are just a few options, but after that, usually I determine how i'm going to approach the exact material itself. Picking one or more of the following is a good way to handle it.
Pantheon- Wars and struggles of the gods result in things that have changed the world, and the PCs are dealing with that sort of thing, perhaps the Gods even still are petty and fighting
Nations- Draw a continent, make the lines that divide them... possibly think of what those lines mean and how they were made.
Families- Design great houses or sketch out the ranks of churches, then create tensions and alliances between them all. From this, create stories and from this, create a setting.
Individuals- Design a handful of people, and decide how they will act in the presence of your PCs. What do they want, what will they offer? NPC 1 wants the Goblin Goblet deep in the heart of Fanurhar... sounds like a good place to start the campaign.
Then, after that, it's usually good to make a rather detailed anchor for the group... This can be the city they are starting in, or a faction they're aligned or opposed to. Something that will give you enough to work with in the first session, and enough that will give the players something to bite into when your campaign is going, and they're pleading for stimulus.
On the whole, I'd guess I design from the top down, as I find this provides more realism, and makes more sense in the long hall as they put the pieces together, getting a better sense of the big picture.