To me, one of the great joys of DM'ing is designing my own world. Don't get me wrong, published campaign worlds are fine. In fact, I rather like Forgotten Realms and Eberron has a certain charm to it. However, creating a world is where you really get your chance to let your creativity flow as pretty much anything goes. However, building your own world is much easier said than done and you can get in over your head pretty quick if you are not careful. So, keeping in mind that this series is geared toward newer DM's and DM's who have limited amounts of time to prepare, I'll try to go through some tips for creating a world.
This is probably the single most important tip for getting your world off the ground. When designing a campaign world, its easy for me to start to lay out all the different continents, topographical features, kingdoms, cities, rivalries, etc., etc. After all, pretty much anything (within reason) I want can find a place since I'm the one drawing the map. The problem with this is that unless you are running several campaigns at once, your PCs will never see most of the world, or at least not for a long while.
By way of example, when I created my first world, I thought I was keeping things simple by detailing a relatively small continent, with a couple of islands off its coast. The continent contained 5 different countries/kingdoms and each island was under its own rule too. The game I created it for lasted for several years and during that time the PCs adventured in exactly one country -- though they were sailing toward one of the islands when the game finally ended. Part of this was due to rather infrequent sessions, but even so, the party had reached 12th level (in 3rd Ed) by the time the game died out. That meant that with 8 levels to go, the party was only just now leaving the home country. Now some of that may have been due to my own campaign arc, but even if you have an arc that has the party travelling like mad, they still can only cover so much ground.
In other words, I spent a fair amount of time creating details for these different countries and they never came to light. That isn't necessarily a problem except for the fact that I lost that time and partially as a result, the details in the areas where the party did adventure were not nearly as well done as they could have been.
So How Small?
Personally, my recommendation is to start with a single town and its surrounding area. You tell the players that there characters will be starting out in the town of Ironhome (or whatever) and briefly describe the area around Ironhome. To the west lies the village of Winterpeak, to the north the dwarven city of Durgost, to the east, the city of Fairhaven and to the south the vast Torhoshian Desert.
From there you go on to describe Ironhome and its denizens, including some detailed descriptions of NPCs (Mayor Fancypants, Brother Tyrell of Pelor, Hangrid the Smith, etc.). Essentially, you want your players to feel as though they know the town of Ironhome. After all, they are going to be starting their careers there and their characters should in all likelihood know something about their starting location. Additionally, providing this information helps ensure that you have prepared for your first session. When the players get that first job offer and want to reprovision, you already know who they need to talk to, etc.
Know Your World
Although you are starting small, you still need to have some idea of what your world is. In other words, how would you describe your world to a friend? Forgotten Realms is high fantasy, Eberron is a mix of fantasy and technology though that technology is often based off of magic and elements, Dark Sun is harsh desert-like world, etc. In the case of that first world I created, it was a world of highly devout people who believed the gods took an active part in the daily events of the world. Clerics ruled the nations of the world and had an ongoing fued with the masters of the arcane, leading many to openly distrust arcane casters. That theme was then played out in the npcs I created as well as the nations and towns, etc. Having this theme in mind is important because it helps make your world feel real as the party moves from town to town. If you tell your players that your world is a low magic world with limited technology for instance, you'll have some explaining to do when they enter a town with a Lighting Rail service. This doesn't mean the Lightning Rail can't exist, just that you had better come up with an explanation for it.
Lean on Your Players
This may seem strange when discussing building your own world, but look to your players for assistance as well. Sure, you've told the players that they are starting in Ironhome. That doesn't mean that their characters have to be from Ironhome. Maybe somebody wants to play an Elf from the forest kingdom. That's great, now you know that there is a forest kingdom and you can work with the player on the details of it, and you have a decent in on a good adventure hook down the road. I realize of course that this may open up a can of worms on the issue of saying yes vs. saying no to your players, but that's a discussion for another time.
Advice in Action
So taking a look at my current games, how has this advice worked? Well for my homebrew game it obviously has a lot more importance. I started off by detailing one town with brief descriptions of three nearby towns. I went on to describe the growing threat of a mutating forest and briefly described the geography of the vale that comprised the starting region. The game is now about a year old and the party is at 8th level (again owing to a couple gaps in playtime). The party has just now finally reached the 4th town in the region with only a brief stop in one of the other towns. The majority of their time has been spent in the starting town and the major city in the area. The remainder of the Heroic Tier will be in this Vale before breaking out to larger environs in Paragon (at which time I will have to start coming up with some new towns, npcs, etc.)
As for the Scales of War group, obviously there is much less world building here. Although it is interesting to not in looking at the Heroic Tier adventures, there are really only 3 towns described. My players; however, have tied themselves to two previously unmentioned towns as well as creating some history for the elves of the region, all of which makes things far more interesting.