Include at least one map of the world.
Gods are a must in my opninion, unless you don't like religion in your game. In the homebrew world I am working on, religion plays an important role.
Races, all depends on the tone and mood of the setting, if it is a fairy tale thingy, add some races. In my setting there are playable Kobolds, Faun, Dryad, en Catth (Catfolk) If you want to have a medieval feel, just humans, if it is sci-fi add some aliens.
Monsters, I think there are already enough monsters, but you can change the frequency and types of monsters, you can for example say that there are no elementals, no devils, but a lot of dire animals. This completely changes the setting and tone.
Add History and Politics. List all important places with their organisations, NPC's. Make some places interesting to visit: ruins, towers, underground cities.
Information about the economy, this adds consistency to the game.
Technology level.
Magic level.
Notes about races and their cultures, tell them for example that Faun like to dance, play panpipes and drink wine, and live in the woodlands.
Legendary items. (Like Excalibur or the Holy Grail)
Last but not least: Cosmology.