World-building is something you will inevitably encounter if you are writing in anything but a contemporary setting. I, being a writer of fantasy, sci-fi and historical fiction, do a great deal of it.
There are some fantasy writers who, a la Tolkien or GRRM, create a big wide rambling world and basically move to live in it, which is wonderful. I was more or less the same during the time I wrote Quest of the Messenger, my epic fantasy trilogy. There were layers upon layers to this onion, maps and myths and poetry, and the reader only sees the outer layer, as a rule.
Fantasy is supposedly easier, because while good fantasy takes a rich imagination to make, you don't have to check any facts, because there are none. You just create a system that works consistently and go along with it.
Historical fiction is tougher, because it involves lots of research, and there's always the fear that someone will point a finger and say, Hahaha, this writer is clueless! That is why many historical fiction authors settle to write in a time and epoch they have read extensively about, and are comfortable in. It also helps build a brand, such as, "aha, author X = Victorian England." I love different settings too much to settle on this, and have written in the Viking era, Regency England, and medieval Ethiopia and Middle East.
Right now I'm working on a sci-fi novel set in Antarctica. Sci-fi provides a double challenge, because on the one hand you still have to do a lot of research, and on the other you must put a great deal of time and effort to create a spin-off from the real world that seems realistic enough. Ideally, your readers should be left wondering, What if something like that really happened?"
And, inevitably, if you have done your work right, only about 10% of your research ends up in the text. All you dig up or line out isn't supposed to come to the reader in the form of information dump. It is for you, to make you confident and at ease with the world of your story.
Right now, working on my Antarctica novel, I read a great deal about the geography, fauna, flora and climate of this mysterious continent, as well as many, many details about the McMurdo research station, as part of the story takes place there. So I watch hours of documentaries on penguins, take in the scenery, and dig into blogs by McMurdo station workers. Only a tiny part of it all is integrated into the text, but to write about Antarctica, I must immerse myself in it. Short of actually booking a ticket down there, YouTube and blogs are my best friends.
It's also one of my favorite parts about writing. It's like an education in itself. I have found out so many things I would otherwise have no clue about, and I hope I am able to pass this spirit, the thrill of discovery, on to my readers.