I usually start with a Hollywood line: "It's like
Lord of the Rings, except..."
Seriously, it really depends on the setting: what's important, what's unique, what do the players find interesting, what matters to their character ideas, and to what extent the setting requires explanation versus narrative experience.
There's also a lot of teaching techniques that can be used to help players "get it".
For example, when I ran AO (gritty, low-magic, culture-heavy) a long time ago, I showed the players the matrilineal and matriarchal system, how farming families were structured, how traces of northern blood mixed into southron families, the difference between Old Families and Young Families, the radiating of every younger Houses from the old Giant's Stone, and more...
...by working with them to build a 4-generation family tree (about 20-30 people) and filling in a quick phrase for each; and then tacking on some of the ancient (Old vs Young) history. I had rules for generating the family tree that demonstrated the matrilinearity, I asked who the eldest woman was and indicated that she was the matriarch of the family, I asked if any northern soldiers (who had come down 40 years prior) had married into the family at any point, etc. This was hands' on learning, but it was also a great way to get them involved in the campaign

. It did take half an hour per player, though.
Visual aids are also good, but I'm rotten at them.
I've also recently learned that Story Hours are a good way to provide setting information. Little bits of academic interest can be trickled in small sips, and the players will take that better than a treatise at the start of the game.