World-building has always been at the heart of what I love about RPGs. It might be one of the reasons I didn't actually game nearly as much in my youth (or now) as a lot of my gaming friends out there. I was very content to sit in my room cross-legged in my chair with paper and pencil and D&D books just making up characters and the worlds they live in.
I had a character called Catina Catrid. She was one of my first D&D characters, along with four of her friends: Briun Branduk (I was a fan of alliteration), Liara Altrin, Mastrin Raulus, and Cybia somethingoranother. They were a thief-acrobat, fighter, thief, magic-user, and a mystic (the NPC class presented in 1985's Master Set). Though none of these characters saw action at the gaming table for more than one or two sessions, they lived in my mind for a few years and had many adventures. I occasionally levelled them up based on storylines I wrote in my notebook. I had intricate networks of relationships and I used the domain-building rules to construct their castle and do bookkeeping for their domain. It was fun!
To this day I spend a lot of time just alone, noodling out ideas for settings and characters that may or may not ever see any final form either in a book or at a gaming table. It's what I do. I can't imagine a life without this inner fantasy life that has given me so much joy for decades.