After many years of GMings adventures, scenarios and campaigns I have come to the following conclusion: less is more. It doesn't help that I am lazy and I don't want to sit down before a campaign and start sketching the entire world, or even a small area in detail only to find out that most of those details won't even impact the campaign. Who cares if Rigby the farmer has a crush on Lily, the tavern wench, if the players don't care about that? That sort of detail can, and should, be improvised during the campaign according to the players' tastes and goals. I'm also a big proponent of making up the world as we play, which I'm sure was the process used by Gygax during his first Greyhawk Castle campaign and has been a staple of many DMs since then. We don't need to know the internal politics of Thule and its constant war against neighboring, Yar, unless that impacts play in any way, shape or form.
Therefore, I have decided to use this method for my current campaign. I will start with a very small area, currently the Keep on the Borderlands, or the Forlorn Keep as I called it, and placed it on the border of Pomarj and Ulek. I only have the World of Greyhawk folio and that's all I need for now. As you know, the folio is a mere 32-page book with only a most cursory description of each kingdom in Oerik. It doesn't include many details. It doesn't even have the deities of the setting. I will assume at this point that Gygax intended us to make Greyhawk our own by adding our own pantheon of gods, lesser gods and demi-gods, which is exactly what I aim to do. For instance, in the keep, the chapel is the church of Obalahn, goddess of war, hunt and explorers. Her symbol is a crow, the animal that guides those who fall in battle to the Other World or realm of the dead. I don't need any more details for now.
Since I'm using a less is more approach, I'll only use the following books (for now): Player's Handbook, Dungeon Master Guide and Monsters Manual (all first edition), the World of Greyhawk folio, and whatever adventures strike my fancy, interspersed with my own dungeons. Since the focus is on the dungeon and exploration, I'll have great control over the environment. The rest I'll make up as I go with the players' help. In my mind, this method has several distinct advantages:
1) It allows me to customize the setting according to my group's tastes. Sure, most of the times my own setting will conflict with the "official" setting, but then again my setting IS the official setting as far as my group is concerned. I'm not a cannon fanatic so this doesn't bother me.
2) I don't have to read a lot of books. I'd rather spend my time designing good adventures and dungeons than worrying myself with every minutia. I'm a lazy DM at heart so I don't want to have to read a lot just to get the campaign going. Eventually, I may or may not read additional books and incorporate those in my campaign.
3) I don't have a lot of time to prepare. I am not in high school anymore and sometimes life and family intrude, so I have to adopt the less is more approach.
4) I give what the players want and not the other way around. This, in my mind, is one of the elements that make a good campaign great. The players will be more motivated if they see in game the things they want to see, instead of trying to make them like preexisting elements of the setting (i.e. if no one wants to see the Greyhawk City, do I really need to detail it?).
From a small area (the keep and environs) I will slowly expand the world. I don't know what exists outside this sphere of influence, but it will grow according to the group's whims to encompass more and more details. I don't know why the caves of chaos are what they are or its relation with the caves of the unknown, if at all. They only met the hermit in the forest. Is he mad? Is he a druid? Why is he living there? Is he wanted criminal who sought refuge in the woods? As the players unravel these threads, I'll pay close attention to their interaction with these elements to see what they think and try to insert that in the campaign.
I'm not claiming the less is more or approach is better than detailing the world in advance, but it's not the method I favor. As the small details are inserted in the adventures, the setting is built brick by brick. Eventually, as we look back, we'll see how all our details and ideas coalesced into a greater whole. They will be more invested in the campaign as they will see the world as their own, a place they helped build even through deed and decisions made in the game. This allows for a more gradual world-building which feels more organic to me.