I am wondering what value people feel that worldbuilding has in RPG games and some of the effective (and ineffective) ways people have experienced it being implemented. I am sure that part of the reason certain worlds are so popular (like Dune, Lord of The Rings, Game of Thrones, The Elder Scrolls) is because the creators put a huge amount of effort into making comprehensive, breathing, organic worlds where emergent stories can take place.

I am trying to capture a little piece of this magic for my RPG. Some of the ways I am experimenting with this is commissioning a short comic book or two that have self-contained stories set in the fictional world that are separate from the main game story. I am also writing the story of the game as a novel, and creating a kind of encyclopedia of the monsters in the world (these items can also be given away as high tier Kickstarter rewards). Although these projects are very costly in terms of time and money.

What are some less intensive ways you might suggest to create a more immersive world and qualities to aim for and avoid?

If this topic belongs in Writing For Games then I apologize for the mistake.

Think of a world as a collection of stories, even if you only ever explore that world to tell one of them. A living world is one that has history to it, one that wasn't constructed for the purpose of telling a story, but one that stories are born into; everything that happens in a living world is built upon the consequences of what happened before. Now, this doesn't mean you have to create your world in a linear fashion, but you must keep everything in line so that all of your world's stories are believably set off by the stories that preceded them.

Visit your world constantly, and ponder the stories it holds that you don't even plan on telling (not that you can't; with enough time you could conceivably tell the whole story of a single world, though it might end up being your life's work). If you have a story that you don't originally plan on being a part of this world, examine it deeply and question whether or not it truly doesn't belong. Realize that all around you, in our own world, there are billions of stories going on at once and not all of them quite mesh with each other. Consider that then consider just what it takes for a story to be a part of your world, and you just might realize there's more going on in your world than you first thought; that will help make it more realized.

Unfortunately, there's just no way that this process won't take a lot of time; I've been exploring my own world for over 7 years now, and I'm barely even ready to begin telling its stories. Fortunately, it doesn't take very much time or resources; you just need to have this all going on in the back of your mind, keeping note of everything that happens for when you're finally to share your world with this one. My recommendation to you is that you don't fear telling what will seem like a single story at first. Once you build upon that, in time, what was once a story will become part of a larger world, and you'll have that magic in the long run, even if things don't look that way in the beginning.

--Never mind what I wrote--

After realizing this topic has been moved to the Writing forum, it seems like you are interested in writing a lore, not building a dynamic living game world.