The first thing on the list is creating the framework for the world. Is it a modern film-noire place, filled with dark cities and gritty drama? Or is it a high fantasy world, with fairies and dragons and magical resurrection? Maybe it's a hard science post-apocalyptic world, where mutations are deadly and food and water are at a premium.
The framework sets the basis of the world, and thus the adventures played in it. Not that any genre rules out any style of game - but be aware of how much work it will be. A horror game in a dark, gritty setting is a lot easier to pull off than one set in a happy-go-lucky post-scarcity science fiction world of high society. It's possible to make those kinds of games work, and I've seen it happen... but it's a lot harder to do, and it takes considerable effort from the players, as well as from the GM. If you have lazy (or new) players, you might want to tailor your world to them, at least a little bit.
So, start with a basic idea. Most off-the-shelf systems will have rules of some sort or another for building the world; be it castles and dungeons, or space ships and planets, or shanty-towns and wild prairies, start by reading the book. Or, if you don't have a book, start by reading some fiction. Or non-fiction, for that matter. Skim a few books on a related topic, and you'll have lots of ideas. Jot them down - not fully-formed, just enough to remind yourself of what you were thinking, be it a plot-line or a character. Regardless of if you have a rulebook or not, set your own rules: how big this world is, how detailed, and what kind of adventures will be played in it. If you can't handle a million details, don't make a huge world; make a tiny one, well-detailed but compact. Sandbox adventures (where the players can flit from one plot to another) are a lot different than a tracked adventure (where there is a strong single plot), too, and a strong sandbox is very different from a strong railroad.
I find that writing specific stories about how the world got to be the way it is helps tremendously - it gives you something to brace the rest of your plots and adventures against. Think of it like the Silmarillion for the Lord of the Rings trilogy. Write some history, make up a few historical figures (ship captains, kings, famous warriors, that sort of thing), and plan out the factions in your world. One big kingdom against the world? A hideout of survivors? A complex political landscape of allies and enemies? Write it down! You can collect all these notes later, but for now, all you're doing is making a fluffy outline of what you want your world to be.
Once you've thought up enough random information, you can start working on the world itself. Again, check your rule book, and the rules you've written; a political intrigue on-the-rails adventure is going to have a tiny map, but a sandbox exploration-and-conquest adventure will likely have a huge map, or even a randomly-generated one.
Speaking of which, do some Googling! If you make a huge map, and decide you need a thousand dungeons on it, don't do it all by hand. Find a random dungeon generator and go from there! It'll save you a lot of time, and the fancy ones will make the map, fill it with creatures, and even load it with treasure. A thousand maps is as easy as clicking "randomize" a thousand times. Which, mind you, will still feel like a chore. Don't feel bad about reducing or rewriting; if you accidentally made a sandbox adventure that spans multiple universes, you may want to scale back just a bit. Remember, you'll need to keep track of all of it!
The "Generating" step covers details like maps, kingdoms, alliances, and major NPCs - kings, mayors, merchants, and other quest-givers. You can randomly generate any of it, but I suggest a two-part process: random generation, and a story.
Say you randomly make a thief to be the leader of the Thieves' Guild; he carries the usual thief stuff, but oddly has a battleaxe. Thieves don't usually carry those - why would he? As it turns out, his father was a fighter; the king had him killed for no discernible reason. The thief, only a child, stole his father's battleaxe from the king's armory, and swore to bring down the king. His guild relentlessly targets the king's men, profiting greatly from them, and emptying the king's treasury. Boom! Now a random guild leader has a story, maybe even a whole plot-line - maybe the king wants the players to assassinate the thief, but now they have a choice to switch sides, realizing the king is not as good as he seemed.
If you're making a single-plot-line world, you'll want to flesh that out. I tend to write "episodes," like episodes for a television show; building mini-plots that push the story forward. Each set of episodes is part of a "season", a larger plot arc, and finally each season pushes the main plot forward. Maybe season 1 is exploring, season 2 is a battle between neighboring countries, and season three is the invasion of a huge enemy force, found in season 1 and hinted at in season 2. Write the whole plot, and assume your players are going to rip through your episodes like a battle-hammer through warm butter. Er, that is, messily. I've been planning about two 'episodes' per game session, but you can use your own pace. Something you'll need especially is roll-cages, as I like to call them; players like to go off the rails, and roll-cages let them think they have, while keeping the plot intact. Maybe the task the players were supposed to do was done by someone else, or maybe there are two or three different quests that all have the same ending. Just keep the roll-cage big enough that it's no obvious; railroading makes for fun, lengthy, scripted plots, but if you railroad too much, players start resenting it. At worst? Just tell your players they have to pull the lever to keep going, simple as that.
On the other hand, if you're making a sandbox adventure, you may not have an overall plot, but you'll still want to write some plot-lines. And feel free to merge the two - a mostly sandbox world, but with plots that are triggered by the players or by time passing, or a mostly railroaded adventure, but season 3 is a more open sandbox. Sandboxes can get very large, very quickly, however. Pace yourself - don't make a massive map unless you plan on filling it all in. Or, fall back on random generators. Just remember to keep notes on it all while you're playing - there's no telling when that Class M planet the players found four sessions ago turns out to be populated by underground creatures, and the players have to go back to quash the literal uprising.
Ugh. Let me just start by saying I'm a creative guy. I love writing stories, coming up with plots, and inventing backstories for various characters. It's easy and fun for me. But details? I hate 'em. Can't stand 'em. A detailed backstory, sure, but coming up with a dozen encounters? Boring. If you're like me, you'll probably get bored here too, but it has to be done. Pull out your rule book and look for "random encounters", or make a little chart of who the heroes are likely to run into, and start rolling dice. Depending on the size of the world you've created, you may need quite a lot of rolls. Pack of zombies here, group of fighters there, merchants crossing dangerous territory over there... so many rolls. But, you'll need 'em, because at some point, when your players are wandering around in a market, they will suddenly want to escort a caravan, and want to know who is heading out that evening. You know it's going to happen. On the one hand, you can tell them no such luck, which is perfectly acceptable. On the other hand, however, you can give a large, gleeful, GM grin, rub your hands together, and say, "Oh, yes! There IS a caravan heading out, and lucky for you, they say they really need a protective band of mercenaries!"
...Then pull out your ready-made caravan of dark clerics hauling the caskets of a dozen fresh vampires, who are going to wake up really hungry shortly after crossing the mid-point of nowhere.
Having a plot to go to on any occasion makes you look amazing, and lets your players know that you have a plan for every situation. Because you do. "Players do something stupid? Pull up sheet 3, paragraph 7: space armada, fully armed and angry."
Creating a world is fun, but it's the details that really make it, and you, shine. Put life in your characters; give them names, and backstories. Even a randomly generated mook can generate plot arcs. I've seen characters go from "passing mention" to "central to the plot" in the course of moments, and it's because the players were invested in that character. Which is because the character had some intriguing hook - a strange name, an odd accent, or even suspicious timing.
Maintaining a Living World
Once you've laid the framework, generated the plots, and filled in all the details, you're... not done. In fact, the perfect world is never done; as the players interact with it, they change the story. Maybe they take a shortcut and short-circuit a whole plot arc; no worries, you can bring that up later as a side mission. Maybe they goof around for years of game time, and the big bad guy invades the kingdom they never even visited. No problem; now the kingdom is under the iron thumb of the invader. Or, maybe you just scrap those broken story-lines and start over, rewriting the story. It's happened before. Do some unexpected things; goodness knows your players certainly will!
It takes effort, but a well-thought-out, living world is an amazing place, for the players and for the GM.