Creating this sense of world is one of the most important--and challenging--aspects of a fantasy writer's craft. (Perhaps less so for some types of urban fantasy, but that's for another post someday). How do authors do it? I don't know all of the tricks, but here's a few things I noticed:
1) Characters care about the world they live in and want to understand it better;
2) The history of the world plays a role in the present and is revealed in a gradual, logical manner;
3) The world is multi-dimensional, rather than divided into "good" and "evil";
4) Distinct cultures, classes, nationalities, races, religions, and/or loyalties are presented and the intersection of these presents conflict; and
5) Many aspects of the world are not as simple as they first seem.
I'm sure there are others that I'm missing . . . please post them in the comments.