I was going to write this entry. But, being the procrastinator that I am, I went on Tumblr, and found this post by the amazing writing-questions-answered, which essentially said everything I planned to say.
So, here you are: http://writing-questions-answered.tumblr.com/post/81621837575/world-building-what-is-world-building-universe
Thanks so much, WQA, even though you'll probably never see this :)
The only addendum I'll make is to focus on the parts of the setting that are important to your character — different people will notice different things. (I've always loved that part of Agatha Christie's Cards on the Table; anyone know what I'm talking about?) I'll cover this in more detail in the next post about developing your character.