World building is perhaps one of the most challenging and greatest thing about fantasy novels. Even in urban/contemporary fantasy, there is world building (of course, all novels have it to some extent). What does the world look like? What are the people's customs? Language? Religion? Seasons? Clothing? The list goes on and on about figuring out characters' worlds.
Worlds can be mundane to the fantastical. Beautiful to dark. Under the sea and on top of mountains. It's all up to the writer to convey this new-to-the-reader world.
Even if you aren't a plotter, I do suggest lists to keep track of your world. Plus, the writer doesn't have to add every detail into the book. The fantasy worlds writers create are often even more complex than what is mentioned in the book, and this is probably how it should be too.
I think one of the best fantasy world builders was J.R.R. Tolkien. His lands were amazing, and he put so much into them, so readers would feel like they could live with hobbits or elves too. Readers could even learn and speak some Elvish.
For my own writing, I like to play off of things in our own world or history and bring them into my fantasy world with new names. For example, the city of Amora (a Roma, or "to Rome" backwards) is similar to ancient Rome. Foxwick is like a mini-Medieval realm.
What's your favorite fantasy world to travel to? If you're a writer, how do you approach world building in your books?