Every well-constructed World runs on rules. The mark of a truly great World is when your reader doesn't necessarily realize what those rules are. Everything has to be planned out before you ever start writing so that, if you want to write about something, you don't have to make up slap-dash rules on the fly. Now this doesn't mean that you have to write a 300-page appendix and attach it to the last book in your trilogy so that people know the History of your World and how the people evolved from mindless Neanderthals to a booming metropolis; odds are your readers won't care (not every writer can be Tolkien). But if you don't need to write a history book then what do you need?
1) Write the History: Yes, yes that's completely contrary to what I just said, BUT what I'm talking about is more than just several textbooks filled with dates or dots on a map. History is what defines a culture. If you have a large world with multiple cultures then that's fine, but focus on one at a time. Come to understand their traditions and laws. How do they treat women? Or men? Or children? At what age does a child become an adult? What region they live in is especially important because what surrounds a people is, ultimately, what defines them. If you have a group of people that lives as nomads in a desert area then they're going to value food above furs and water above gold. Figure out what it is that makes your people behave the way they do in all aspects. You probably won't write about everything you come up with, but it's important to know the answers just in case you do.
2) Maps are Your Friend: You don't have to be a cartographer to draw a map. You don't even have to draw a physical map. The important thing is making your world real enough and easy enough to see that your readers are never lost, even if your characters are. The readers like to be oriented and to know where they are in relation to the characters. If your reader knows that Viridian and his Five Man Band are skirting the edge of the Sinking Swamp in order to sneak into the Big Bad's Iron Fortress, they should probably know where the Iron Fortress is located in relation to the Sinking Swamp. Again, this doesn't mean you have to draw a physical map, you can just as easily establish location through dialogue and exposition. For example:
Viridian held down the corners of the curling map. The old, disused paper crunched and for a moment Viridian feared it would crack right along the Baron Strait that fed into the Sinking Swamp. The man-made canal was the perfect route for merchants and other travelers going between Anumbarna and the New Capitol.
Six other cities had docks off the 114 mile long water road. The official drainage point was never finished and instead the canal ended at the juncture of two mountains before pouring down into what the map named Lily Valley but was now known as the Sinking Swamp. Hundreds of sinkholes and numerous patches of quicksand made the Swamp almost impassible. Fortunately, there was a system of caves that ran from the valley through the mountains that rimmed the back of the New Capitol. They just needed to find the entrance.
"There.” Ruby’s gloved finger landed on the old paper with a crunch. "Right at the head of the valley, where the falls are. We'd have to pass through the Swamp, but if we stay near the edge we shouldn't have any problems."
"It'll be slow going," Onyx said. He had his dagger in-hand again, tracing the etched hilt with his finger. "But it should work."
"Make sure we have plenty of torches." Viridian rolled up the old map with care. "We'll be in the caves for at least three days. We should have enough supplies for a week, just in case."
Okay, so maybe this example is a little longer than necessary, but it does give us important information. We know that the canal is fairly old because the only map of the Lily Valley before it became a swamp has been unused for long enough that it's brittle and weak. We know that there is a man-made canal that connects two large cities and several cities in-between and that it cuts through the mountains. We also know that the mountain range is fairly large because moving through the caves will take several days, but that they will ultimately end up at the New Capital's back gate, which is the whole point of their journey through such a dangerous place. It isn't a foolproof map, but your reader can at least picture it, and that, my friends, is really all that matters.
3) Magic is Not Manic: If you have magic in your world, then you have to know how (and preferably why) it works. Who has magic? What makes magic users different from non-magic users? Is it something you have to learn or is it an innate ability? Let's take my previous Hair Magic system into account. In Sedalia, the world we created, the only real criteria for using magic is dependent upon whether or not someone has hair. Someone with full, thick hair would have more magic than someone with thin hair, and every time you lose hair, you lose some of your magic. Changing the quality of your hair affects the quality of your magic. If your hair is well taken care of, long, smooth luscious, etc, your magic will be stronger, more effective, and easier to control.
Why does magic depend on a person's hair? Well in this world, Legend says that the origin of magic started when the God of Beauty blessed an especially pious man so that his hair would bring him happiness and bounty. As long as his hair was well kept and retained its integrity and beauty, the man's happiness would be assured. Wanting to share his good fortune with the world, the man took hundreds of lovers and fathered children with them all. Those children inherited his happiness and luck through their hair, and eventually, as they married and the generations followed, everyone had a portion of that first man's good fortune. Thus, anyone who loses their hair or is born without hair is considered cursed by the Gods and, depending on where they live and with whom, is regarded either with pity or shunned with contempt.
For a more extensive (an comprehensive) look at how and why Magic works with the over-all context of a story, check out Brandon Sanderson's Laws of Magic. It's well worth the read.
4) Nothing is Mutually Exclusive: If you create a world with magic, then the rules of magic affect the laws and cultures of the world, which are also determined by the region and climate in which your characters live. Everything in your world should build on itself to create a strong, believable society within a strong, believable world. And while it's true that if you do it right most people won't even notice, in this case Anonymity is your greatest reward.