There's something of a controversy amongst fantasy/sci-fi writers (and their fans) around the topic of world-building. Basically, people hold differing opinions about the value of a writer's putting time and effort into constructing an environment for her/his fictional characters to inhabit. Some say it's unnecessary, reader-numbing, and the mark of bad writing. Others suggest that it is necessary, but in the same way that research is necessary (and that, like research, you shouldn't put everything you've uncovered into your story).
I like the second view, especially with that caveat about restraining yourself when it comes to including details. A good writer should do some amount of world-building, all of which should be transparent to the reader.
Anyway, fantasy/sci-fi writer Lynn Viehl has a great checklist of things to consider when world-building as well as some cool links on the subject.