For me, personally a setting gives me the basic framework to hang my ideas on. I have used victorian methods of industry in a medieval setting, giving the medieval mindset of some the characters the excuse to cry "witch" at the character that uses said methods.
I have used the early industrial revolution circa 1800, with steam trains and religious magic. I love to see what is possible and what is not. I love to read what is possible and what is not. Imagination and making the reader believe in your world is a challenge I enjoy. And I love to read authors that attempt that.
Over the past few weeks I have been mulling over an idea, something that has been in the back of my mind for years to attempt. A story set in "real time," with real world events at the backdrop, in fact the affect of these events the driving force that shapes and alters my characters. The first lot of research books have just arrived and I realise what a task I have set myself. Though the story is fiction and it has a supernatural edge to it, it is dealing with the aftermath, the affect on a country and people of a war, called at the time "The war to end all Wars" For this the setting, and the way I hope to write about that setting with frame the whole structure of the story.