A with writing fiction, creating a satisfying milieu for your fantasy role playing game is often found in the details. Stephen King always used what has been called "brand name realism." King's characters don't drive home from town drinking a soda. King's characters ruble along the mountain road back to the Overlook Hotel in the property's 76 Ford F150 drinking a Grape Nehi. Of course this is an exaggeration, but you get the idea.
Since Pepsi vending machines were scarce in the dungeons of Conan, the DM must relay on other details to carry meaning, engage the characters, and create the kind of intrinsic logic that makes or breaks most fantasy and sci-fi settings. If you ever saw the older editions of the Greyhawk setting, you remember that part of the prominent artwork was the many heraldic devices of the various political entities of Oerth. That was a great example of the sort of detail that can carry a campaign.
I remember Seeing the Palladium Role Playing Game for the first time, and being pleasantly surprised by the inclusion of illustrations of the various coins of the kingdoms. Of course, shortly thereafter - you guessed it - my campaign world had its own coin illustrations! I shamelessly pilfered through library books of Heraldry, Ink Art, Symbols, and so on (in those dark days before The Internet) and cut, pasted, created coin sets for my own kingdoms. The coin art became symbolic of the country that produced it (as it does in reality).
Shortly after introducing the artwork, my players started looking at the coins they were looting from dead bodies or receiving as pay. They used the information to pick up clues about where various NPCs came from, or hints about who was paying to have them followed. It was a way to tease in clues and foreshadow overarching plot threads. It turned out to be one of the better things I had brought into the game. Now that the Internet is available, putting together sets of coins for your own campaign is a simple matter, and one that adds real depth to your game.
Of course this is only one example of such detail. The small details that you choose to work into your own campaign are what will ultimately determine much of the flavor of the campaign. Robert E. Howard, creator of Conan, used a specie of "Brand Name Realism" in his "Hyborian World" setting for Conan. Howard didn't relay on familiar brands of course; he appropriated real world, historical cultures to create in his readers a sense of familiarity with much of the setting. This was an incredibly effective writing technique, as it played on readers' almost unconscious ideas of the exotic lands of the Orient or the frozen waste of the Viking homelands to create very specific notions about his setting.
By borrowing from real-world cultures of the past, Howard was able to create a consistent and eerily familiar fantasy setting. Many modern critics are quick to label this practice as the worst kind of cultural appropriation - imperialistic in nature and insidious of intent.
I don't buy into that argument.
From my point of view, Howard's practice is more akin to tapping into Jung's theory of archetypes to create meaning and nuance in his fiction, and it's a practice I've heartily adopted. I write games from a western male point of view. I can't write them from any other, because I have no other mindset. To me and others of my experience, there is much romance tied to my ideas of the distant east. I loved the Arabian Nights as a child. I remember staring in awe at the 19th century artwork showing Aladdin in the cave of wonders, almost buried in precious, strange treasure.
There wasn't any negative connotation on my part. I didn't go to college and have a headful of ideas about what people from the Orient were really like. I understood, even in my naïveté, that what I had read as a child was fiction and no more kin to my reality than my Clifford the Big Red Dog books. I absolutely held onto all of the colorful stereotypes of my childhood reading, but those stereotypes (archetypes) only applied to the Orient of fiction, not reality.
In the modern, politically-correct madhouse we inhabit, My views are now transgressive. Of the many purposes of writing, my favorite to read and write is still to entertain. Can I debate with others the colonialist ideology present in most 19th century literature? Sure. Can I recognize it in 20th and 21st century literature? Absolutely! But those are not the reasons why I play fantasy role playing games. I play FRPGs (specifically Dungeons and Dragons) as a way to escape reality for a time. For me, playing is an opportunity for communal storytelling. It's an opportunity to NOT overthink everything, but just relax and have fun.
To this end, most of the various countries and powers of Ur are derived from real-world cultures both ancient and recent (or at least my ideas of them). It was easy to style the Northern nation of Atik after my ideas about the Dark Age Vikings - most of which are formed much more by popular culture than historical knowledge. It was easy to write that nation-state as a frozen, grim, and savage civilization, as this is how it is often portrayed in popular culture. Is it accurate? Not really. In reality, this is a grossly simplistic view of a farm more complex and subtle culture.
But, this is a FANTASY role playing GAME. No rational person would ever believe that my fantasy world carries with it any real-world implications about a real historical culture. My Atik is the Viking land of the eddas, of the epics, of Beowulf and Eaters of the Dead. It is fantasy pure and simple. Was it simple to deepen that verisimilitude by pulling together a list of Scandinavian given names? Sure! Did I get a richer setting by filching the names of real towns and villages in Scandinavia? Yes! Am I in any way condemning Viking culture? No. Absolutely not.
With that said, I appropriated several pop-culture versions of real-world cultures to flesh out the nation-states of the great continent of Ur. One wouldn't need to look to deeply to see a stereotyped Nazi Germany or Imperial Japan. The fictional United States of the Frontier era is there as well, along with a fantasy Cajun society, a fantasy Roman Empire, and the legendary version of Arabia.
By building from "real-world" models, (at least the pop-culture versions of them) you can quickly create an intrinsic logic, a consistency that adds the feeling of realism to your setting.