One of the easiest traps to fall into when designing a game world is to create a world map. First of all, the map is two-dimensional, while the path that your players take is one-dimensional, so there's going to be a lot of wasted effect.
World maps also tend to have unrealistic scales for a world where traveling was a difficult undertaking, like sailing around the world on your own private yacht or backpacking across South America. Having reliable information about places hundreds or thousands of miles away just doesn't reflect pre-modern cartography. The farther away something was, the more fact and myth would be mixed. A bad geographical information roll table would be fun - the dragon-infested waters, magical barriers, countries of giants and amazons, mythical paradises, honey, and so on.
Lastly, the world belongs to everyone, not just the dungeon master. Locating everything ahead of time makes the DM proud and inflexible. One of the unexpectedly clever suggestions I found in the D&D 4E core books was letting the players dictate the aspects of world with successful knowledge rolls (of course, on unsuccessful rolls you tweak the world without letting them know).
I'm primarily talking about maps. You should still think about the order of magnitude of distances to famous locations, what countries lie in each compass directions, and a vague sense of latitude and continentality (which affect climate). The point, though, is to use just-in-time world building between sessions. There's generally enough time to determine the locations of things, if you've already got the hard parts (stats of generic creatures and floorplans and such) written up ahead of time and ready to be re-skinned.
If you have so much information that you can't convey it verbally or on a sketchy impromptu map, then you have too much. Of course, feel free to disagree.
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