So what is this Shared World Building I speak of?
Well I'm using my own created world for the Megadungeon, as well I should, in order to avoid mucking up anyone else's canon and just going with what I want to put where.
However, this isn't a campaign setting in the sense that I'm going to have a 300+ page tome with a detailed history of every town down to the dietary habits of each citizen. No, instead, I'm going to build each part of the world as I need it, and then fill in the blanks as they come up. If a player wants to know the tenets of a certain god's faith, I'll tell them on the spot, then take notes about it to use it later. What's the name of the river beyond the hills, well, I'll come up with one when someone asks. It makes for a more liberating experience and is the DM's equivalent of growing a character organically; i.e. coming up with one or two concepts and letting it blossom as the game moves on.
But I did say "Shared" didn't I? What that means is that the players are fully encouraged to build the world right along with me. If someone playing an elf decides that all elves sing battle hymns while in combat, then that's how elves work. As long as there's a fun reason for it and it still "respects the setting" (not trying to be wacky just for the sake of being wacky), then bring it on.
There's a real possibility of creating something far better then any pre-thought out world ever could be.