What are different ways to establish setting for an RPG?
Assume that players have either read the setting books or have skimmed enough to get an idea and flesh out the rest through play.
Based on Books
You play in the Star Wars universe or whatever it is, sticking to whatever canonical tomes the group deems appropriate. Probably important that people know the same setting or have a similar understanding of how it works.
The players gather to create a setting and attach the setting to mechanics (Burning Wheel, Misspent Youth, Shock:, Diaspora and Mortal Coil come to mind on this one).
Embedded in the game
The game has a setting, the players flesh it out through chargen and it is fleshed out further through play ( Polaris and Dogs come to mind immediately here).
The game evokes a setting through mechanics and the setting is further fleshed out through play (Burning Empires and Mouse Guard come to mind...Call of Cthulhu and Trail of Cthulhu too, methinks)
You start with a basic map and expand. I am thinking of classic D&D and maybe 4e out of the box too. But this one's complicated. D&D has its own mythos. I dunno. Little Black Box Traveler before it became all setting-if-ied.
Spirit of the Century is a funky one, where there are setting elements in the book but most of it is done through the glorious chargen. Embedded in the game, mayhaps.
Other thoughts or expansions/corrections/hell-yeah's on the ones posted.