Planet Algol -- a blog everyone should be reading -- had a nice post on Wednesday about "grand unified theories in fantasy" and I pretty much agree with every word of it. In brief: too many fantasy games and settings try to do The Silmarillion and present a complete universe, from the moment of its creation all the way down to the present day, with every event, every person, and every detail following logically from that beginning; this is generally a Bad Thing. The reason it's a Bad Thing is twofold. First, most of us aren't Tolkien, so we're just not up to the demands of such a monumental task. Second, and probably more importantly from a gaming perspective, grand unified theories often rob a setting of its mysteries and its contacts with the Unknown (and Unknowable), the stuff from which adventures are made.
When creating the Dwimmermount campaign, I specifically avoided even asking, let alone answering, many of the questions that my younger self would undoubtedly have considered of prime importance when designing a new fantasy setting. To take just one mundane example, there is no name for the world of Dwimmermount. In game, when needed, I have NPCs talk about "the world" or even "the earth," but there's no name for the planet on which the campaign takes place. Heck, there's no name even for the continent on which the campaign takes place. In some contexts, it'd be perfectly reasonable to have names for such things, but there's no need for them in my game and, moreover, the people of the setting generally don't think about things on such a macro-level scale. Some sages and scholars do, of course, but their influence is limited and they themselves don't agree on the names of such things.
The same goes for the gods, their existence, and their relationship to the universe and the creatures that inhabit it. Are the gods real? Is there an afterlife? Where did humanity come from? How does magic work? There are no answers to such things and I make a great effort to muddy the waters on these questions when they do come up in the course of play. The gods don't walk the earth, but their servants do have access to unique magical gifts. Meanwhile, demons (and some former devotees of Turms Termax, such as the necrolyte Pharaxes) claim that the gods are a myth invented by Men. The characters have spoken with the dead, so there may be some kind of afterlife, but it's uncertain, both because the types of questions the dead may answer is limited and because some scholars surmise that "the dead" with whom one may speak are merely lingering memories somehow given temporary life apart from the body, a kind of byproduct of the very act of dying.
Speaking for myself, I find it much easier to run a campaign where I don't have to think too much about the universal implications of adding this monster or that magic spell. It's all wide open and, while I suppose one could consider me lazy for this approach, I've noticed that it actually makes the campaign setting far richer. Rigorously imagined settings may have an internal logic to them, but (Tolkien excepted) I rarely find them very engaging. There's a "clean," almost antiseptic quality to them that rubs me the wrong way. I like "rough" settings, with lots of sharp edges that "cut" me from time to time. I don't want my fantasy polished smooth, where everything ties up into a pretty bow.
In short, I like including the Unkowable in my campaigns and I think the Dwimmermount campaign, despite being very megadungeon-centric, has survived and prospered for as long as it has because it's so amenable to my throwing whatever strikes my fancy into it. It's a "stew pot" setting -- a familiar but tasty gravy in which there are lots of chunky bits suspended, some more assimilated into the gravy than others. The only rationale that matters is what "tastes good." In practice, I expect most gaming settings are stew pot settings, so I'm not suggesting there's anything unique about my approach, only that I've self-consciously embraced it and used it in order to make Dwimmermount weird and mysterious, just how I like my fantasy these days.