Ahhh. The joy of worldbuilding. I've done a fair bit of this and can give you some pointers though essentially it boils down to doing what works for you.
The only hard and fast rule is to be consistent - you can have
anything but to make readers believe you must think through its consequences and have reasons why it does or doesn't apply. You're world must be stable (or at least in a situation which it could conceivably end up in), for example if you have magic do the mages rule and if not why not.
There are two basic methods of worldbuilding I've seen, from the top down, where you start with the big picture and work down to the small one, and from the bottom up where you get an overall view but then just start wherever your story does and make up the rest on the fly. The latter gets you writing a lot quicker though the former is an easier way to produce a coherent world. Everyone will do a mixture of both and what you enjoy is up to you.
Another thing which greatly helps is using similar sounds for different cultures' words and places (for example the ashlanders words are based on Assyrian if I remember correctly). This adds instant depth. So does darkness and despair - look at great worlds, Tolkein's lotr, Jordan’s wheel of time, King's dark tower, even star wars. None are really happy places.
Cultures are important, not only what they wear, what recreations they partake in, how rich, how advanced, how prejudiced, but how people in that culture
think. Travel helps a lot with understanding my meaning but remember no one believes they are evil and in any dispute each side think they are the good. This tends to be down to these differences in thinking.
Another really fun bit is putting in the cool bits. These are those things, especially places but they can be anything, which are just fun. Think of bits of other works which are just nice: moria is an excellent example, its exciting and give a feeling of depth. Put in enough with variation but avoid too many (unless you're writing parody in which have nothing else).
I could write more but I'll finish with a couple of bits of advice - make it how you want it and loads of plots will come to you just in its development. Also remember nothing is final, if you need a city somewhere halfway though a plot just bang it in.
Here's two links which might be helpful (hell I probably plagiarised one or two bits unknowingly):
http://www.hollylisle.com/fm/Workshops/how...d-workshop.html - exceptionally good there are more things down the left margin
http://www.sfwa.org/writing/worldbuilding1.htm - these questions will test your world's workings very well