If you want to write a sci-fi, or fantasy, or western, then many times you end up creating your own world within the story. This is not easy and requires a lot of creativity and deep thought. I have a lot of respect for people who can create a believable world that is entirely separate from our traditional lives.
Doing this comes with challenges. First, you must be able to remember what details you have given the reader. You can't contradict yourself, because you will confuse your audience! It is also important because, while you have this whole world in your head, you have to be sure you have explained it thoroughly enough that the reader can picture it too. If you accidentally leave out one important detail in your description, it could send them off in a different direction or throw them off completely.
If your world is very extensive, such as in the Lord of the Rings, it might be a good idea to give the reader a visual aid. This might mean including a map at the beginning of the book, including a picture of your main character, or using an introductory chapter solely for getting the reader oriented. This could also be a place to expand your book across media lines and make a website that delves further into the intricacies of the novel. While this might seem like a lot of extra work, it gives the reader a place to learn more and might hook potential readers that happen to stumble upon it. From a marketing standpoint, it also keeps your reader focused on your work and will encourage them to learn more about you and about other titles you have published or are working on. This is why it is important to have a blog or an "about the author" section!
While there are a lot of points that can be made about making your own world, this is just a brief look into the needs of the reader.
World building is an art unto itself. It is very difficult, but very rewarding. I'm currently in the process of this and have been posting tid-bits on my blog.
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