Campaign world: Where to start?

[Wildcat]

I'm not currently involved in any games, so in the meantime, I think I'd like to finally work up a custom campaign setting. Here's what I know I want so far:

• TL 3-ish, most importantly no guns.
• Fantasy, leaning more toward epic than sword-and-sorcery.
• Earth-like world in size, proportions of land to water, gravity, etc.
• At least some non-human races.
• Uncommon magic, rather than rare or everyday.
• Some fantasy staples -- dragons, giants, etc.
• Distant but active gods, and quite a few of them -- gods don't walk the world, but they're constantly sending omens, blessings, miracles, and disasters.

That's about all that jumps to mind so far. My challenge now is to flesh out the world, and I'm not sure where to start. Pantheon? Geography? Races/cultures? Details of magic? Identifying what the big bad is, and why?

Does anyone have advice for getting started with my campaign world?

Edit: FWIW, my GURPS library consists of the Basic Set, High-Tech, and Low-Tech. Recommendations for additions are also welcome.