Settings... there's a lot to say about them.
Talking on a microscale, about local settings and particular scenes, and here pointing to Slayr's question, I think to make a good description of a scene one needs to describe in general three things:
1.- describe those minimal elements which define the setting: if you're in an alameda, point out that the trees are all planted orderly, and that there's an ample space between them.
2.- describe that which your characters will interact with: if you intend for your character to secure a room by handling a trapdoor or a hatch, you'll probably at least want to point out if it is open or closed.
3.- describe that which helps moving to the next scene: if the villain will exit through a door to the airfield's hangar, the door has to "be there" in the first place.
Not all of those are needed every time (after all the villain's exit is probably hidden, as a matter of plot and custom) and you don't need to follow that specific order, but I find those three categories of elements are those that define the mental image a reader has of a small-scale location. Of course, implementing active description (describe things as they happen or as your characters interact with them) means you don't need to infodump the whole description of the room to the reader, as well.
Talking on a macroscale, about cities, regions, small planets where the action takes place, etc..., and on a more general perspective, the
culture your story takes place in, the two biggest helps I've found out are drawing some sort of map, as has been pointed above, and taking a real life macroscale as a model and start building up differences from the literal bottom up - if the soil is different or if there is a higher ratio of water to landmass, then edifications and transportation models will also be (fundamentally?) different, perhaps that changes the city skyline enough that other things such as the location of touristic hotspots are altered, etc. From there work laterally - subjects like economy, religion or national defense, depending on what is relevant to your story.
Hmm, setting for me is kind of important, but for you to be able to make it more realistic you need to imagine it for yourself, and include everything, the sound, the smell?, how it looks, feels.
Probably not - it'd be a very hard thing to do unless you're working with a setting that is very close to real life elements you know. But always have more than one (ideally more than two) senses at hand to describe the setting. In a city, sounds are an important concept and they provide some useful insight; smell is usually a device to deliver information about specific details or events to come that function only locally (such as being reminded that there was a bakery across the street of the crime scene, remember scent is a powerful memory and info(dump) motivator). In a jungle, on the other hand, smell becomes a primary element - it tells you what food can be eaten or if there is even food nearby, etc.