Dungeons and Dragons has some fantastic settings ranging from the dark and dangerous world of Dark Sun (back in the days of Advanced Dungeons and Dragons), planar adventurers in Sigil with the Planescape setting, the ever popular high magic/low tech setting of the Forgotten Realms to the high fantasy magi-tech world of Eberron.
Personally I love the old worlds of Dark Sun and Planescape, and have very fond memories of traversing the desolate deserts of Athas or exploring the blood war from our home base in Sigil. More recently I have tended to play in either the Forgotten realms or my own world of Gadriel.
You will usually find a setting published by Wizards of the Coast to suit most players, and they are really good settings full of lore, history and quirky NPCs (non player characters), but sometimes a Dungeon Master wants to flex their creative muscles and make or adapt a setting into a homebrew world filled with their own creations. Creating a homebrew world/setting is a long and difficult process, so why would any Dungeon Master sink hundreds of hours into writing history, lore, locations, characters and even making maps?
One of the main reasons to make your own world is the sheer joy and fun of creating an original world plucked out of the darkest, deepest pits of your mind. All the work is worth it when you have cultures, history, races and places fleshed out ready for your players to explore. Of course be prepared for players to come in and knock down lots of your hard work when they decide to take over your lovingly crafted kingdom, destroy the existing culture and install their own 'murderhobo' dictatorship!
So how do you even begin to create your own lore rich world? Well start small, do not try and do everything at once, while your mind might be crammed with ideas try and distil them into a single nation or even just a single city to start off with.
Maps really help to make a town, city or even a continent feel real, which you can either draw by hand or use one of the many free/paid apps to create some visually stunning maps. Inkarnate is a great web based map making utility which comes as a free service or paid service. Its well worth checking out to get started with map making. Packages such as Cartographer are fantastic and comprehensive, but the price tag does reflect all of the extra features.
Making your own world is meant to be a fun, creative endeavour, so do not let it consume you, or drive you insane. Take a step back, play some one shots or read some fiction which fits the style of your world to replenish your creative juices!