Some important ones:
- Economic/class model - This one is probably THE most important one because this will shape how your characters view the world and themselves. Is it a commerce-based society? Are merchants the at the top or close to the bottom? Is there a gap between haves and have nots? Are you shooting for more of a communist-based society where there's no wealth?
Ex. Suzanne Collins' The Hunger Games trilogy uses the world's economic model as the catalyst for the Hunger Games. Basically, it's all for rich people's amusement.
- Technology - Are you writing steam/cyber/other punk? Basing your society around the Middle Ages when people still rode on horses? Is it an era of invention?
Ex. Steampunk is all the rage these days. Kady Cross' The Girl in the Steel Corset utilizes the steampunk automatons and advanced technology. The plot centers around automatons being used for dastardly deeds.
- Religion/Spirituality - This is probably tied with Economic model in terms of importance because it will help shape your characters, whether they're believers, non-believers, or just don't care either way.
Ex. In Dragon Age (I know, I know, but really, it's a good example), the central religion (Chantry) is built around a prophetess and a higher power referred to as the Maker. Chantry belief dictates everything from the lore surrounding the evil critters you have to kill (Darkspawn) to how Mages are treated to curses and praises. There are people within the Chantry called Chanters who can only speak the religious text the religion is based around.
- Geography/Setting - The actual world part of your world-building. If you are setting your story anywhere besides present-day Earth, you're going to have to figure out the geography. Draw *really crappy, if you're like me* maps. Figure out important places. Mountain ranges. Deserts. Flat lands. All these things (and more) will determine how your character travels and the potential hazards therein.
Ex. Star Wars. Dune. Game of Thrones. Pitch Black. Each of these uses setting to show something about character, whether it concerns how the character grew up--Luke was raised on a desert planet with 2 suns--, a character's attitude--Ned Stark is often referred to as cold because of his "northern blood" while characters from around Kings Landing are "those southron folks"--or a character's adaptation to his environment--Riddick's night-vision.
As you can see, when you build a world, you literally build a world. You design it. You make its history, its culture, its classes and all of that. Everything, be it where a character's from to what he believes in, will shape your characters and their reactions to the world around them.