The first coherent game world I ever played in was a homebrew created by my friend Mike. Before that we just bounced from adventure to adventure without paying much attention to the game world as a whole. Mike created a world with a Hapsburg-like royal family that controlled most of the world. Whenever we ran into a king, high cleric, or powerful wizard, odds were that we were speaking to a member of this family. Some were good and some were evil. Many of our adventures revolved around helping or hindering these individuals.
The first published campaign world I played in was Greyhawk, in college. Of course at the time, it was the only published game world.