The question: how do you construct a world that is compelling and complete through implication?
The other question: how do you convey that in the game?
I. Man by his Speech/ is Known to Men
First you find your mandate, the themes of the system/dungeon/whatever, and get every element supporting that mandate. Build to a handful of purposes. Write out, like, three to six. For my ongoing Okucenza game, the themes might be something like:
- disquieted local spirits
- the aftereffects of war
This is a game with dungeons, and each centralizes one of these themes with frequent reference to the other two, like a military monastery-hospital, a well containing a fatted angel of death, or a cthonic nexus for bugbear society. It's a hexcrawl as well, and the ephemera filling these hexes include haunted shrines, abandoned trenches, and detailed towns.
Mechanically, chasing your mandate means having all the systems which contribute to your aims and none of the systems that detract from your aims. If you have a favorite rule system, reconsider each part of it before a new campaign. I was doing XP-for-gold, but in Okucenza you also get XP for investing gold in allied settlements. I rewrote every class so that at higher levels you acquired special ways to interact with the community-level domain rules, and introduced classes based in the themes I listed out.
In worldbuilding the history of your setting, you can establish a central historical event and have very direct causes from that one event, and as long as don't explicitly state an authoritative version of events it will feel all mysterious and vast. To make an example of a game whose mysteries are already unraveled, many setting details in my Holy Selmat campaign revolved around a particular god literally holding the world together under the city of Gath. In the very first session I mentioned that the inhabitants of Gath claimed this was true, but it still took a campaign's-worth of angels stating that they hadn't seen that god in a long time, documents about the fascination of prophets with that city, and commandments written by that god while holding the world together for every detail to come into focus for the PCs. A mystery should be mysterious not because the core of it is complicated but because there's a lot of cruft built up around its core.
II. Neither Breath nor Wit nor Life Hue/ nor Manner nor Good Looks
As a corollary to staying laser-focused on your mandate, you should also focus on specificity. "Sandstone" is better than "stone." A "cutlass" is better than a "sword." A strong noun is better than a weak noun, or a weak noun with a weak adjective. This goes double for anything that people are trained by video games not to think about.
Your sandstone wall feels substantial when you point out a buttress is supporting the wall to allow it to be built higher, because it reminds people that the world isn't made of floating Minecraft blocks. (This is important even when you're in a magic realm made of floating Minecraft blocks.) Your cutlass will feel substantial when an NPC oils theirs, or when your spear-wielding hireling needs you to lead the way through the jungle, since they can't cut away the brush.
It is this substantial feeling that makes a game compelling, compelling like running your hand through a jar of mismatched coins is compelling but the phrase "20 gp" isn't; compelling like playing charades with an NPC whose language you lack is compelling but saying "I speak Halfling, what did she say?" isn't; compelling like catching the inconsistency in a spy's alibi is compelling but making a sense motive check isn't.
Remembering the mandate of this article, know that details for their own sake is not the goal of specificity. we want to convey a world that's compelling and complete, and we therefore want to be specific about the sensory and abstract details we find compelling.
III. I Know much Lore, yet See even More/ of Ragnarok and the Powerful Victory
As a corollary to specificity, you should give yourself space for evocative names, iconography, and phrases. Use deliberate symbolism and lean on Earth history or myths. Give major people and places multiple epithets, and etymologies. In Okucenza, amber is used as a symbol of the destruction of war, literalizing the sense of being stuck in the past. Each faith has defined symbols that are integrated in their architecture, art, and sigils.
Without even trying hard, in a dungeon game rulebook, you have space for evocation of this type in: the name of the game, the title page, all art pieces (especially a cover), layout, quotations, the name of player roles (e.g. Dungeon Master vs. referee), the name of primary attributes, the name of secondary attributes, the name of character options (e.g. race and class vs. folk and lot), the names of specific abilities, the names of spells, the selection of items, any allusions to monstrous creatures, explicit setting sections, the kinds of languages, a mediography (i.e. appendix N), and hopefully an example adventure. My advice would be to use literally all of these opportunities, although good use of an opportunity will usually be subtle, like deciding that you're going to keep calling HP HP.
You can hopefully see how Vain the Sword tries to leverage all of these opportunities towards the wild, folkloric, and mythic. A poetic sense of naming is a useful skill here, and it can be supplemented with study, a good thesaurus, writing advice, strong poetry, etymology blogs, and if all else fails a reconstruction of Proto-Indo-European roots.