I second TWErvin's technique.
I have a map. Basically I started with pencilled blobs on a sheet of paper and added details to them as the story progressed. I now have mountains, a coastline, forests, cities, etc.... everything that's relevant to the story. I can then flesh out the rest to give it more life and presence.
A "make it as you go map." I like that idea! I tend to not like being boxed in. If I make solid decisions before I begin then I have a hard time working with them later. They tend to suffocate me. I like the idea of starting with a general map and getting more specific as you go along. I think it might depend on how elaborate and or complicated the story will be too. I have a hard time believing that George R.R. Martin wrote Game of Thrones without a fully planned out map ahead of time! But thank you Butterfly for that idea!
I have a general outline of the world, with basic details and information. I fill in the specifics as I go along.
I like when setting is integrated with the story of the characters, and the best way of doing that is figuring out locations and landmarks and interesting places and structures and such in outlining.
You can't write the characters' story and then come up with the setting and hope it fits together as well as it can, because it more than likely won't.
It's best to have the major components down before you go in search for the details.