The answer is to remember to work with the small stuff. Often GMs get wrapped up in the grand stories they want to tell, this is the heart of the campaign. It's the dynamic villains and epic confrontations that keep GMs employed, yet if you give a little attention to the small stuff then your setting will feel deeper to your players.

What do I mean by small stuff?

Think of it this way, it's all the little things that provide circumstantial evidence that makes it seem like NPCs are real persons living in a real world. You want to expose the PCs to local idioms, cuisine, customs, and holidays, by interacting not telling. Don't recite flavor text just immerse the PCs. A lot of GMs can improvise this, but I have found that spending a little thought and time to flesh them out really helps.

My approach is to focus on a few specific small stuff: local idioms, customs, cuisine, laws, and my favorite - holidays. Generally, I will pick 1-3 to focus on in a session, this is small stuff, just a little spice to give your setting more flavor, don't go overboard - the goal is to create a little vignette. Begin with the emotional reaction you want to elicit and conjure up a scene that uses small stuff to accomplish that.

A GM is setting up a great tragedy in a city that will happen in a few days. The PCs have arrived in town and the GM decides to introduce a holiday. Pulling no punches, the GM wants this holiday to make an impact so knows it should involve kids and involve the PCs in a positive manner. The eventual idea is to create a holiday about the game of "tag" involving wooden balls, when the game ends the "losers" have to gather to be purified by kids dumping buckets of milk, dyed in many colors, on them. This is followed by family feasts, which depending upon how things play out the PCs could be invited to a feast by a family.

"You have entered the city and find chaos, kids and adults are running around chasing one another. There's some smiles and laughter, but there is an intensity to whatever they are doing. One kid bumps into you, yells "Itara", and drops a wooden ball at your feet then runs off."

A GM wants to communicate how a community is oppressive because the nobility are uncaring, often cruel. There are a lot of ways to do this, but the GM wants to be subtle. The eventual idea is to apply local noble etiquette to an unexpected venue. Commoners cannot leave a room where a noble is without either permission from the noble or for the noble to leave first. The situation can play out many ways.

You have settled down for your meal at the inn when a finely dressed young man with two attendants enters. The patrons of the inn do not look happy to see him, though he pays everyone else no heed as he claims a table and cheerfully orders wine. The innkeeper who has been serving you, comes over with fresh bread and whispers. "Friends, he is a lord. You may not leave the room without his leave, it is the law here."

To be effective in conjuring the small stuff, you don't need to have all the answers. If the PCs ask a NPC about the origin of a holiday, you don't need a real answer - the NPC can be surprised at the question or give a nonsensical answer. Also embrace engagement with the players, if a PC starts talking about how this holiday reminds him of one in his homeland, then weave all that into the setting.

Focus on evocative setups that require some sort of roleplaying response from the players. A good setup will automatically provoke a response, both emotional and actually roleplaying. Be open to playing it out, observe their reaction and use that to find your approach to making a good scene.

They will let you stay at the farm for the night and share their meal with you. It is apparently a local dish, thick chunks of various vegetables and some sort of meat in a spicy, odd-smelling, milk sauce that's served cold. The grandmother serves you each a sizable serving.

The ferryman has collected your fee and is helping you load the ferry, he's quite strong for his small size. "Remember to toss something to the River before we're halfway across. If you don't I may toss you in, the River has been restless since that battle last autumn." As he speaks you do think the river is a little more choppy than it was before.

Don't overthink this, all you are doing is adding small stuff to your setting. Sometimes the small stuff becomes important, because it clicks with the players and they will go back to it again and again. Of course, sometimes the small stuff falls flat, but that's okay it's not critical, this is just extra stuff.