Perhaps above all else, I feel like depth is important in a setting. I want to feel like things are well thought out, or have some sort of plan. If I don't feel connected with a game/book setting, I find myself more frequently disengaging, which means less connection with a character and a game world. In order to provide this for my players, I like to do extensive setting research before I'm comfortable getting to the point where I'm ready to present it. Here are ten tools that I've found rather useful in writing a setting, given that I've primarily run historical games or games based in real-world settings (Cthulhu, Shadowrun, World of Darkness).
1) Travel Sites
Frequently, when running a setting that I've not lived in, I'll find myself browsing travel sites. There are quite a lot of things nested in these pages that a storyteller might miss, and I like to absorb as much of the flavor of the setting into my game. After all, if you're not actually using the rich culture of Barcelona, what sets a scene in sunny Barca apart from a scene in the cold winter of Nebraska? Why have a house in Massachusetts without knowing what a New England townhome looks like? Local religious traditions, food, entertainment, and the such are all valuable details to have. Wikis are particularly helpful in this development, especially Wikitravel.
2) Wikipedia
Wikipedia is particularly useful in getting an overview of a setting, as well as its history. It also has developed pages for each year that you might be interested in exploring, giving you not only plot hook ideas but also the ability to have in-character brief conversations about current events with your players. I would also research things related to the game concept you have -- for example, when researching Shadowrun plots, I'd make sure to incorporate the Aztec calendar and mythology.
3) Six Degrees of Separation
Similarly, a concept called Wiki Golf can help you explore how this wealth of knowledge relates to your specific plot or game setting. You explore the minimum number of jumps you need to make to get from your setting to elements of your plot. A few weeks ago, Slashdot offered up an automated tool to do just this, called the Oracle of Wikipedia. You just type in your setting, type in your genre, and boom -- you see how many jumps it takes to get from Barcelona to Majestic 12. If there's anything useful in those jumps, you'll want to take notes.
4) Game Resources
While sorting through a stack of books to find obscure references to specific dates or places in a setting can be quite a chore, many games have established wikis to do just that. A quick trip to the White Wolf, Delta Green, Shadowrun, Star Wars, or Battletech wikis can have you loaded to the gills with detailed setting information that makes the connections you need to work in all sorts of plot twists. One thing I find helpful is to make an Excel spreadsheet intermingling date information from Wikipedia with date information from in-game wikis to see how things line up. From there, do some quick editing, and you've got a detailed timeline to accompany your story arc before you even begin to draft your game's plot.
5) Local Folklore
Before you've drafted your plot, look up local folklore for your setting on Google. See what local legends and myths are prominent at the time of your game, and decide how they interlace with your setting. Sometimes Wikipedia can be useful at this as well, but for thorough details, I recommend looking elsewhere. Encyclopedia Mythica can be a wonderful resource. Looking up the paranormal can be particularly interesting, as well, but it can be quite a mixed bag and can lead you to some rather bizarre and kooky sites. Then again, that might be just what you're looking for. These things can also give you some wonderful monster of the week material.
6) Census Data
The census provides detailed descriptions of cultural backgrounds, languages, socioeconomic status, and even prominent religions in an area. If you want to be sure you've gotten a thorough picture of what an area is like, this is a wonderful place to begin.
7) Primary Sources
This one was drilled into my head in my history classes in college. Why tell players about something when you can have someone who was actually there do it? Search Google for primary sources (first person documents from witnesses) regarding the period, setting, or event you want described, and odds are you're going to come up with something. From there, narrate it, read it, or simply present it to the players as-is. Here's a collection of primary sources regarding American settings that's rather useful.
8) Fictional Sources
What has been written about a specific time and place that might be of note can be just as important as primary sources. See the interpretations that authors, artists, and speakers attribute to describing certain events or help add life to a game. When working on a military setting, for example, a quick read of "The Things They Carried" by Tim O'Brien is a particularly helpful guide in setting mood. You might also watch The Hurt Locker. Audiobooks already provide narration, so if you don't mind playing a segment from an audiobook for your players to provide that extra level of detail, you can provide that mood to your players.
9) Pop Culture
What music was popular at the time of this setting? What were the fashion trends? What did vehicles look like, and what did local architecture look like? What did politics of the day look like, and how much did people care? What did law, or crime, look like? Here, it's more important to get mood or general concepts rather than specifics, as you're going to be presenting all of these things to your player/reader.
10) Creative Liberty
No doubt, this isn't the only setting you've research or plot you've twisted around in your head. Are there elements of previous stories that make connections with any of the things you've found? Why let them go to waste? Bring them in, flesh them out a little more, and suddenly you've added an entirely new spin to the setting that you may not have before, and created another quest chain for players to explore and see, or another aspect to provide to the reader. And as always, your plot takes precedence over everything you've found. If something doesn't fit, adjust it. It's your world. Shape it how you please.
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