So, you've decided that you want to write something in a world that doesn't yet exist. In front of you sits a pad of paper and a stack of post-its an inch thick.
Where do you begin?
There are two broad schools of world building.
The top-down approach.
The bottom-up approach.
Both techniques have their advantages and disadvantages.
Bottom-up: This is used when you have an idea for a place, character, or thing and you want to find a way to incorporate it into a wider world. This lets you focus on the immediate vicinity in much higher detail, you can develop the cast of characters, the street names, the local histories, the things your story will interact with immediately while hand-waving a lot of the why or how. If you don't see the story leaving the city it's in what's the point in knowing the currency of a country way over on the other side of the world, unless of course it becomes important to the plot, then you just write it in.
Advantages: A quicker start-up, immediate results, a focused setting.
Disadvantages: Easy to introduce inconsistencies, over-focus.
Top-down: This is used when you have a general idea for a setting and you want to flesh it out. It allows you to build a strong foundation for your story where the many pieces fit together seamlessly. It allows you to stray from your storys local comfort zone without worrying about what they'll find out there. You'll know the climate, the geography, and history of the setting as a whole before narrowing your focus to a regional or local level.
Advantages: Better integration, internal consistency.
Disadvantages: Slow start-up, lack of focus.
Which of these is the best? It depends entirely upon the individual, and the ultimate goal of the worldbuilding exercise.
There is of course a third option.
The Combined Approach: This uses elements of both top-down and bottom-up. It allows little pockets of focused setting within a broader consistent world. It's also probably the hardest method to pull off successfully as it can quickly become overwhelming.
Personally I tend to use a predominantly top-down approach, but I discovered worldbuilding through pen-and-paper games, I like to build settings in which to set various stories, rather than having a story I want to tell and needing somewhere for it to happen.
I've got notebooks and sketchbooks filled with hastily scribbled notes, intricate maps, lists of seemingly random words. And somewhere within all that detritus is a world or two that would actually function as reasonable setting, I just need to get it onto paper in an intelligible way.