I've noticed a lot of beginner writers throw together a pantheon of gods and a map with some funny place names and call it a day. It feels hollow. What's made the difference for me, after a few manuscripts, is starting with the mundane physical laws. Does magic obey conservation of mass? If someone creates fire, does the heat come from somewhere else? Sketching out those basic rules first creates a grid that everything else—societies, economies, conflicts—has to grow on. It forces consistency.
Then, I focus on a single cultural artifact and follow its ripple effects. Say you decide this society buries their dead in the foundations of new buildings for spiritual protection. That impacts architecture, urban planning, family inheritance, and even crime scenes. Suddenly, your world has texture because one idea spawned a dozen tangible details. I get lost in those connections, and that's where the immersion for the reader really builds, not in the big flashy lore dumps.
I try to leave about a third of my notes completely unexplained in the text. The world should feel like it exists beyond the edges of the protagonist's understanding.