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World-building, for me, is one of the biggest things about fantasy. It has, in many cases, saved a book from sucking. Conversely, poor world-building can drag a brilliant plot and excellent characterization down. What is world-building? It is consistency of logic and the new rules that you introduce as part of the story. Easy to say, hard to do. World-building, in good fantasy, more often than not, provides some kind of critical plot point. (If it doesn't, that's okay, but really good fantasy usually takes an established rule and gives it story stakes.)
Examples? Phillip Pullman establishes the rule of daemons in his His Dark Materials trilog