Is the world you are creating the only world where your story can be told? If it isn’t, ask yourself why you want to create the world if it isn’t an essential part of the story. World building shouldn’t be a gimmick. Readers won’t appreciate it, and will see it as nothing more than clear Pepsi. If you are world building, your world is as much of a main character as your protagonist.
Poor lost soul, once you realize you have to build your world, you need to decide where to start. The physical attributes of the world need to work with the culture and politics. Welcome to the chicken v. egg debate. In my opinion, you need to begin with the physical attributes of the world first.
If you are writing an urban fantasy or paranormal story set in a setting that already exists, this step is pretty easy. If you don't live in the location and/or can't visit it, everyone’s best friend, the internet, waits with the information you need.
Not only do you want to know what the location looks like by getting maps and pictures for your key location, but you also need to know what your location feels like. Be sure to check out traffic patterns, local news, weather and sunrise/sunset times. If your urban fantasy is set in Atlanta in July, you will need to know that there is daylight until the late evening, and that the humidity is so heavy and thick it can be suffocating. These details will drive the culture (when do people eat meals, where do they spend their time - inside with glorious air conditioning or outside in oppressive heat, etc.). Be sure to get these details right. People who are familiar with the setting will spot the errors immediately, undermining your story.
Next week - building a new world from the ground up!