As a DM, the burden of creating and populating a world for the players to explore rests on our shoulders. Even in role-playing games that utilize the idea of player authorship—where the game mechanics allow players to propose elements of the game world that "become" true—it's the task of the GM to figure out how to assemble all of those pieces into a whole.
This isn't going to be a post about "how to run your your game"; I have no intention of being a pundit. These are just some ideas I've been kicking around for some games, and how I started building them out.
Movies, TV, and novels
Setting aside the fact that many movies, books, and TV shows have licensed role-playing game systems, pretty much everyone who has ever played an RPG has wanted to play in their favorite setting at one time or another. Whether it's fighting Sith adepts with lightsabers, chasing the vampires of the Red Court alongside a Knight of the Cross, or running away from Cybermen in a TARDIS, established settings make it easy for people to immerse themselves in the game.
One thing I like to do is find interesting elements of a story and twist it to fit into a roleplaying setting. Here's an example I've been kicking around for a while:
I started reading The Monuments Men by Robert Edsel a year or two ago, well before the movie was even announced. For those unfamiliar with the premise, the book covers the work of the Monuments, Fine Arts, and Archives section (MFAA). The MFAA's goal was to preserve the historical, cultural, and artistic works of Europe from the ravages of World War II. Early in the book, Edsel tells us that Hitler sought to collect the art treaures of Europe and planned to turn his adopted home town of Linz, Austria, into the cultural heart of his Third Reich. Years before he began preparations for war, he sent German scholars throughout Europe to locate and identify objects of great artistic and cultural value, so when he began conquering Europe, his agents would be able to quickly locate, identify, and secure these treasures.
I kicked that idea around for a while until I came up with an idea for a D&D adversary—an elder blue dragon who has little desire to expose himself to risk attacking castles and towns for plunder; rather, he hires agents to purchase, extort, or steal what he wants. Perhaps the players have been hired by people who have had their belongings stolen. Perhaps the players are working for the dragon and don't even know it!
Later in The Monuments Men Edsel mentions Hilter's Nero Decree: in 1945, Hitler ordered his military commanders to destroy any and all buildings, installations, roads, bridges, and machinery that the invading Allied forces could make use of; if Hitler's Third Reich fell, there would be nothing left to rebuild from. Also, the invading Russian armies had orders to collect seized artwork as spoils of war.
This could be twisted to form a complication for the players. If they learn of the existence of the blue dragon's hoard, the dragon may choose to destory it rather than allow his treaures to be reclaimed. Or perhaps the players end up in a race against time to beat another organization to the hoard—an organzation that has its own plans for the dragon's riches.
Current events
The news is filled with all sorts of stories that could make fodder for good stories. A major story right now is the internation tension between Ukraine and Russia. The short explanation is this:
Ukraine's president broke off talks with the European Union in order to pursue closer ties with Russia. This touched off months of protests which culminated in the fall of the current government and the appointment of an interim President. Shortly after, pro-Russian militants in the Crimean region began calling for a referendum on whether or not to remain a part of Ukraine. Amid cries of covert intervention by Russia, a hastily-convened special election ended with the majority seeking to leave Ukraine. Shortly thereafter, an agreement was reached that will potentially make Crimea part of Russia.
These actions have made Russia's neighbors extremely nervous, espeically the other former Soviet states. Rumors are flying that other parts of Ukraine may also seek to split off and even reunite with Russia. Russia has ignored calls from the EU and the United States to stop meddling in Ukraine; Russia claims that it seeks to protect the ethnic Russian populations of its neighbors.
I've mentioned before that the Eberron campaign setting is one of my favorite D&D settings. Eberron has post-war elements that lend themselves well to stories of diplomatic intrigue. During the Last War, many locations changed allegiences over the course of a century; the Treaty of Thronehold recognizes the current borders of the Five Nations and the new states of Darguun, Valenar, Droaam, and the Eldeen Reaches.
The Eldeen Reaches split off from the kingdom of Aundair; it wouldn't be much of a stretch to say that Queen Aurala sends agents into the Reaches to provoke conflict with the Wardens of the Wood or the Children of Winter. Perhaps the Church of the Silver Flame conducts a pogrom against a sect of the Blood of Vol in one of their border towns; the sect has family ties that reach into Karrnath, prompting King Kaius to condemn the action and pledge to protect his kinsmen regardless of where they find themselves. Or maybe these border conflicts are instigated by a third party with the aim of restarting the Last War. The Lords of the Dust, the Chanber, and even the Inspired of Riedra (or the quori that control the distant nation) could have reason to see the Five Nations tear themselves apart.