With regard to "A well thought out and fleshed out world/setting"...
The setting doesn't need to be enormously complicated and deep. What it needs is 1) things that can be discovered, which are important to the story, 2) puzzles and mysteries that require being pieced together based on that setting information, and 3) consistency so if I do figure something out, it won't be contradicted or invalidated without a reasonable in-game explanation of why it changed.
The longer the campaign, the more depth that is required, and the more important it is to have at least the basic framework complete in order to maintain consistency later on. E.g. campaigns usually expand in scope over time, so initially the players may only see one village, then one nation, then multiple nations. But if you already have the nations in mind, even just in outline form, from the beginning, you can lay the groundwork in the village without suddenly becoming inconsistent (e.g. if the nation had law X, why didn't we see that in the village?).