Where in the world…
Ah, location. Where do we put our characters? For some, I imagine the setting is a character in itself. For me, if you can figure it out, can you let me know?
For most of my stories, I am as vague on location as I am on physical descriptions of characters. I think this is because I’m not confident in my ability to describe a place properly or capture its feeling, its atmosphere. Also, I suppose I write stories where the location is unimportant. I rarely even describe the weather. I might mention a sunny day, or a rainy one, but that’s about it. What happens in my stories could happen anywhere (well, werewolves and all aside).
The first exception to all of this is my story Ghosts of the Forum, which I set in Montreal. I had to, as it centered on the Montreal Canadiens hockey team and their former arena, the Montreal Forum. I researched (another rarity for me) a bit, although made no attempt to capture the “flavor” of Montreal. I figured that was doomed to fail, as I’d never been there. My biggest failing in that story was the language; Quebec French isn’t like Parisian French, and although I attempted to keep my French phrases simple, they still weren’t right. Most people didn’t care, but a few let me know. *ahem*
The second exception is my unfinished story, Language Barrier. It’s another hockey story, but it’s set in Washington, DC. I lived in the DC area for fifteen years, so felt confident enough to be specific with the setting, although I wouldn’t go so far as to say that the city is a character in the story. It is fun to revisit old places I used to visit and such.
The other stories may mention a location quickly, but that’s all. In Young Blood, I run my characters to Pittsburgh, Indianapolis, St. Louis, and then — because the more, the merrier — it ends in Vancouver. 
Just having some fun there.
The opposite of the above examples is probably Nothing Gets Through. When I started that one (another hockey story), I had intended to set it in Boston, at least in my head. I changed my mind after emailing a friend and the location switched — again in my head — to Columbus, OH. I didn’t even specify a team in that story; didn’t even mention uniform colors. I guess I like to leave a lot to the reader.
Perhaps location will become important later. So far it hasn’t been.
One of the great things about fantasy and science fiction is being able to create a setting rather than research it.
That being said, I did setting research for “Ex Fumo Gaudiam” because while it’s set it a world that never was, where ancient Rome outlawed slavery and exploited steam power, it IS set in a real place with real geography that I wanted to get right.
I didn’t have to do much research on New World cultures in 300 AD because we simply don’t KNOW much about New World cultures in 300 AD. And that was a bonus to me. There are very, very few people in the world with the credentials to call me on it.
On the other hand, I did a lot of research on ancient Rome, especially on the servile wars, because they were the turning point where my version of history diverges from real history.
I think, as you say, even a fictional setting can require research. You may need to find out, say, if it’s physically possible to have mountains near an ocean, or valleys near a volcano, just to throw a few things out. I also confess that my time is limited, so when I write, I prefer to write and not research. Hence I either make the setting unimportant, or I stick with settings I know. Ghosts of the Forum was the only exception, I think, as it was important and I did need to learn a little. Although really, I only wanted to not make a major mistake; didn’t want to put the Forum on the wrong side of town or anything.
I have a couple of sf/fantasy stories in the beginning stages, and look forward to filling out those settings on my own.