I'm a big fan of the Birthright setting that TSR put out back in the day. It hit a lot of notes I really liked - the world felt populated, politics had a powerful role, monsters felt mythic - it just rocked. But one subtle note always impressed me. In one of the nations of the game, the default one detailed in the core book, the High King's
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The primary difference is that readers of a novel have no choice but to stick to the tracks the characters follow. Players, OTOH, will explore, and often in the most inconvenient corners. That requires higher degrees of consistency and explanation (q.v., the floating city problem). It also requires that every direction be interesting. In a novel, you can have the entire western half of the continent be vaguely noted farmland dotted with nearly identical keeps/towns. In an RPG, as soon as you fail to give an area detail, the players will make a beeline for it.
But, settings also need to be relatively easy for the GM and players to digest. Too much detail will scare people off fast (it's the main reason I've avoided a couple settings, like Exalted). Before play even begins, the players need to find enough hooks to create a character that actually makes sense in the setting. Obviously, this is never a problem in a novel. There are also a number of players (myself included) who like to be able to casually include common knowledge and local slang into their "in character" speech. The more setting material they have to digest to do so, the harder it is.
Additionally, settings need to be open. The author of a novel gets to, essentially, manipulate both sides of the table so that the characters go exactly where he wants, say exactly the right things, and make exactly the right mistakes to make the plot come out right. And, the plot only has to come out right once, so fantastic coincidences are allowable. An RPG setting needs to allow for infinite replay with an infinite variety of characters. And to allow for interesting stories to continue to be told, no matter what decisions those characters make. Yes, some of that falls on the shoulders of the GM. But, a well-crafted setting makes the GM's job so much easier.
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