Assume a fantasy RPG and begin with the world. Will you develop a creation myth, pantheons of deities, and place continents, oceans, mountains, rivers, forests, plains, and deserts?
There are two approaches one can take:
* You can use the pantheons of ancient religions and use them as is, or re-skin them for use in your world.
* You can make up your own deities and religions from scratch.
Similarly, you can use real world maps or the many sources of free online maps and map generators to create your world. Or you can draw your own maps by hand, or use a drawing program, or one of the many programs designed to help you create your world map.
Magic: Will this be a high magic or low magic setting? That is, can one just go and buy the magic they need, or do they have to go adventuring to find it?
Astronomy/Astrology: Will the sun, moon(s), planets, stars, constellations, and other bodies have
names? Will there be a belief that they impact/control one's destiny?
Calendar: Will you use a real world calendar, an existing imaginary calendar, or make your own?
Nations: What are the kingdoms and empires of your world? Will you create them as they are now or develop elaborate histories? What are the conflicts, wars, treaties, boundaries, names, and rulers of these nations?
Organizations: Are there thieves guilds, trade guilds, wizard colleges, secret societies, etc.?
Adventure Locations: Where are the dungeons and ruins for the players to explore? Where are dragons and monsters located?
Villains: Who are the powerful evildoers/power hungry schemers working behind the scenes that the players may or may not interact with until much later? They initially encounter their minions.
Names: Everything will need a name: the deities, the mountain ranges, the forests, nations, cities, tribes, businesses, and people. If you don't have a gift for naming things, you can turn to one of the many online name generators or lists. I suggest making a list of names for NPCs and make a note when they are used. Be sure to re-use the first/personal names since more than one person can be named "Bob". You can also avoid naming every NPC by not going there, just be the shopkeeper or merchant or blacksmith.