Settings are integral to a good game. From descriptions of the landscape, to layouts of buildings, to architectural details, to local customs and laws, the setting can sometimes practically be a character in it's own right.
The setting can make the game. My favorite thing to do is re-skin the classic dungeon and make it different. One game I had a horde of orcs burn a series of fishing villages, the inhabitants escaped into their boats and through the machinations of a rather ingenious wizard connected all of the boats into a floating city. When the players found it abandoned, instant floating creepy creaky dungeon.
Another example was a dungeon overcome by a wizard's experimentation with immortality through ooze and slime. A good number of the creatures in the dungeon had the 'ooze' template applied to them.
My favorite way to grab the players is attention to little details. For example, NAME the coins. "Five gold" or "ten silver" is kinda generic, but "Five suns" and "ten stars" give you an insight into a culture that puts a lot of thought into the sky and its inhabitants. Other things could include cultural touches, rural customs, local landmarks with a history to them. Or strange local phenomena. Look up the odd cloud formation that appears over the Rock of Gibraltar under certain conditions, for example.
I put that under world building but yeah that's the best way to pull them in. Make it different, same thing with monsters. No one wants to fight kobolds all day, reskin them and call them something else. It livens things up.
To me, world building is more like designing continents, laying out oceans, weather, laws of physics/metaphysics, star systems for sci-fi, indigenous flora and fauna, and major political/economic/power structures. Settings would be anything specific to a town/village/city scale, or specific woods/desert/body of water. Probably anything smaller than a 5 mile diameter or so. It starts to be world building when you're designing land masses and seas, types of storms, and civilizations.
I like coming up with the small details. From currency names to styles of hair and fashions and even down to the building styles.
I can certainly agree with all that is here. The devil is in the details that's for sure. Once you have a good group having in extras is always a good idea as long as it does not over run the main story or plot. I always felt adding it into the main line is best so it kinds of gives them a chance to experience other things like culture of a village, town or whatever.