I'm not adding anything new, but what the heck.
I start with a big idea. I usually try to make it a disruptive one. (A god has died. The king has died. The orc horde has taken the western frontier. Magic has stopped working. All the good dragons have disappeared.)
Then I brainstorm the ramifications of this idea. How will it affect the game world? How with that trickle down to the PCs? And what sorts of adventures might be directly related to the idea?
I don't worry about why it happened or what can be done about it. Eventually, I will figure out the former, and the PCs will figure out the latter. (And I'll usually let their solution work, although of course I put obstacles in their way. The obstacles are known as adventures, or modules in old-school parlance.)
Then I brainstorm important character related to the big idea. If the king is dead, who stands to benefit? How will those people react? And who will oppose them? And then how will that filter out to other people?
I jot all this down on pieces of paper, and I end up with a big, disorganized mess. I recommend that you find a more organized way to do things, however.
If you are referring to nitty-gritty like maps and rivers and mountains and city names and and and... I just steal that from somewhere else; I'm too lazy and time-crunched to make it all up myself. Usually when I grab a map from a setting, I don't bring the rest of the setting baggage along. (E.g., I might use the Eberron map, but not warforged or changelings or the Draconic Prophecy.)