Depends on the game. I run short sessions and one shots exclusively these days.
For WoD and All flesh must be eaten, it's just set in my home town in present day and I just add supernatural stuff. This makes it easy and convenient.
For 7th sea campaigns i used real world places and events. Also, set in my home country. So places, people, events, customs etc are more or less known to all my players, even ones who slept over history classes in school.
D&D, it depends. It's either in my friends home brew setting (for classic fantasy), or it's my modified version of Ravenloft. My friends home brew is kind of collaborative thing. He did majority of basic world building, but left part's of the world blank, so my other friend and i fleshed out those trough our campaigns over these last 10 years. It's loosley based on Earth, with heavy inspiration from various real cultures and civilizations.