A Strongly Defined Milieu

Why It's Important
A strongly defined milieu or setting has several advantages to both referee and player in campaign or one-off adventure play. Boundaries that are defined and defended make for friendly games...and I am not talking about a wall or line on a map type of boundary. The kind of boundaries I have in mind are cultural and religious boundaries, norms and morals - the patterns of behavior that define deviance and expectations. Having an established history, culture and religion for your game setting allows referee and players to start with common assumptions and gives everyone some guardrails for their role-play.
Perhaps having recently experienced a "bad session", I am more aware of the advantages of boundaries, both in terms of our implied social contract as gamers setting down at a table together for a friendly game and in terms of game milieu. The milieu begins with either a published setting or better yet, an idea the referee has for the setting or stage on which the players will act out their parts. The milieu can be well developed before the first session gathers around the table, or can begin as some vague ideas which will be fleshed out during group play. I am all for incorporating what happens at the table into the setting and building as we go, but I can also see advantages to starting with a pretty well defined milieu.
An established setting history allows players and referee a chance to share knowledge of what has transpired before. It gives everyone a place to start when creating characters. Often such detail will influence how the game is played as much or more than the system rules themselves. Following tradition or breaking with historical norms can pose an interesting dilemma for a player. Tying PC backgrounds and referee scenarios closely to the history of the setting adds to the believably of the game world.
Knowledge of the prevalent culture(s) of the setting helps the players and referee to develop the personalities of each PC and NPC over the course of play and can color their reactions to each other and to the environment. Culture establishes norms of behavior such as what is considered courtesy, the role of the individual in the group, how outsiders are viewed, what is common knowledge, and what behaviors are seen as taboo. Playing a PC from inside the dominant culture means dealing with the guardrails of expected behavior. Sometimes it is fun to play a "rule breaker", but there may be consequences. Playing a PC from outside the dominant culture involves social discovery and exploration and may lead to conflicts that must be role-played.
Religion is a special aspect of culture and can be a source of power and conflict within a society and across competing societies. Two people of vastly different  cultural origins may share a common religion while competing religious beliefs often create conflict within an otherwise homogeneous social group. In a setting with active deities, the gods themselves may directly play a part in the milieu through avatars or priestly agents and cause conflict among their believers. Religions often have a public side and a hidden side to them and this can be very useful to the referee as plot tools. What people consider right and wrong - the morality of certain actions - is often defined by religion, but even then may be debated among the faithful.
The milieu is the situation in the "sit-comedy. It is the stage for the play or the "set" for the film. It is both backdrop and determiner in the action as played out by the players. The more definition the milieu has, the more the players. referee and PCs, have to work with. Milieu is fuel for the imagination as well as the creative sum of world generation. The milieu deserves thought and planning and should be more than something "implied". It should be discussed and explained and explored thereby adding to the richness of the game. The milieu or setting can be as important as any player character or NPC and many campaigns have been defined more by the milieu or setting than by the characters.