The first points I think of are -- what are the stories that let you have such a world? Since, after all, you can make it as intricate as you like without the fans ever getting wind of it.
And that means a plot that allows much of the world to be shown. Lots of choices here. There's the classical picaresque one: a character lopes about the world, seeing this and that and the other thing. Has some kind of excuse plot, where the plot is chosen to move the character about, and contain the setting like a plain wooden bowl holding the marvelous and magic fruits. A quest is classic for obvious reasons. And it helps to have a grand plot with lots of characters -- a great variety, who will see all kinds of things and know all kinds of things -- having points of view to reveal this corner and that one. An intrigue in court, where the characters are always being influenced by news from outside, even though they never leave, would touch the opposite extreme.
Series, of course, give you even more scope.
But even if you start at that end, there comes a point where you have to fill in the backdrop to stage your intricate plot and cast of thousands.
An intricate world is a tension between two opposite forces.
On one hand, if your world is simply and obviously operated by a few principles -- dominated by the working of elemental magic, or shape-shifting -- there's no room for intricate details. Fire and water annihilate each other, and so air and earth -- hoohum, I hope there's a good plot because you aint' getting a chapter or two out of that, let alone a book.
On the other, a random jumble of dinosaurs, fire-ball-wielding wizards, and an intriguing city of merchant a la Venice turned up to eleven, is not a world. It's a jumble. Like a story, a world needs unity to hang together. You get something of this effect in The Hobbit where Tolkien, particularly in the beginning, was just writing a sportive children's tale. The giants whose gambols drove the company to take refuge in the cave? Never appeared in Middle Earth again.
Some broad strokes principles help unify a world. It does not, however, have to be something that you can write down in a sentence -- or a word, though it can be. (Steampunk, say.) It can be just the feeling that some things work together. A Mad Scientist with his beautiful daughter, perhaps, and a great exhibition at a World Fair. You can get the effect by lumping up a whole bunch of bright, sparkling ideas and seeing which ones play nicely together.
One grand rule for an intricate world is that it needs lots of ideas. Worlds that crystallize about a single concept may be grand for those story purposes, but not for an intricate setting.
This is where your reading comes into play. Reading lots of history, particularly primary source, both gives a feeling for worlds that hang toegether, and provides inspiration for bright sparkling ideas to enliven the work.
Don't forget fictional history. An intricate world has some events behind it, driving the foreground; glimpses of the gears hard at work behind the front of the clockwork makes it more convincing.
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