Something I would like to do on a regular basis (at least once a week) is publicly create a fantasy world and describe how I go about it. It's something I've been doing since at least high school (probably middle school) with increasing levels of sophistication. I take an idea, think about it for a while, and then start writing stuff down in a notebook, this time I'll write it down here. I often end up thinking of an idea for a story in the world, or perhaps some rules that could be used to make it into a game. I would create small homebrew RPGs to play with my friends. Most were pretty mediocre, but some were good (I remember two in particular: one called Gutter Runner, which was basically a cyberpunk distopia, and another called Demon Lords, which was heavily influenced by the game Myth: the Fallen Lords, and had elements of a (magical) distopia as well). Those had very simple rules and back stories, and the main reason that those were so popular is that I actually finished them. Making a whole game is lot of work for one person who's not being paid for it.
The first part of creating a fantasy world is to come up with a premise. One that I've been kicking around for a while is one set in a magical version of the enlightenment. Basically in the real world there was a rediscovery of ancient knowledge (called the Renaissance), that led to the development of totally new ways of thinking. This makes the whole period really interesting, and underdeveloped as a source of fantasy. Just about the only book I can think of set in that period is Neal Stephenson's Baroque Cycle. I want to make the old technology -> magic translation. So magic is undergoing a change, from one way of thinking to another, specifically from an older way of thinking about things (the analogy to the natural philosophy of the greeks and such) to a newer way (analogous to early science). I'll leave it there for now, more posts on this in the near future.