Some people like to design their campaign settings from the top down, but when they say “top” they usually mean a continent, or possibly a whole world.
I start with the multiverse.
Yep, that's right, the whole enchilada. Granted, these “maps” tend to be fairly vague, but they're heavily based on the themes I'm playing with during design. Once I know my themes, the shape of how the various Planes hang together and the relationships of the gods tend to shake themselves out pretty quickly.
So, for my still nameless Labyrinth Lord game, this starts with the center of all things, the world the campaign will begin in. This is the union of Earth and Ocean (which I'm calling Luum Qa-nab, as that's the name the lizard folk would use) imprisoned by the Goddess in chains fashioned from the four Elemental Planes. So, clearly, there's a strong link between what folks who work on a planar level call the Nexus Realms (what 1e would call the Prime Material Planes) and the four Elemental Planes.
There are other planes that are “close” to Luum Qa-nab. One of the closest is Tartarus, the realm of the dead. Most regard it as a shadowy and grey mirror of Luum Qa-nab, though those who have actually been there will tell you that there's not an exact, one-to-one correspondence between all places in Luum Qa-nab to places in Tartarus. There are spots that look uncannily similar, though. Tartarus intersects Luum Qa-nab in a number of places, and it is possible to walk from one to the other, though most of the gates are guarded these days. In addition, Tartarus drifts closer and further away with the seasons. They are closest during Equinoxes (and during the Autumnal Equinox the gates are flung open and the dead are allowed to visit the living for one night only), and furthest apart during the Solstices.
The other plane closely tied to Luum Qa-nab is Fairey. Like Tartarus, it intersects Luum Qa-nab in a number of places. Many of those places appear fixed, but there are others that move around. Most of the fixed ones are guarded by trolls, which are fey creatures. Like Tartarus, Fairey seems to drift closer and further away from Luum Qa-nab. Some scholars say that Fairey works on an opposite pattern to Tartarus and suggest a link between the two, but most believe that if there is a pattern to Fairey's movements, it's far too complex to chart.
What about other Prime Material worlds? Yes, they exist, though there's lots of argument about what they are. Are they interdimensional shadows of Luum Qa-nab? Or is Luum Qa-nab one of the shadows? And then there are the “higher planes”. These are alien realms that do exist, and every now and then something can pass from them to Luum Qa-nab (such as the brain collectors), but these tend to be too alien to survive for long in Luum Qa-nab.
And finally there's the Outer Chaos or the Primordial Chaos, in which everything floats. It's a wild maelstrom of possibility, a soup of destruction in which everything else floats (mostly) safe in a bubble of Order. Some consider the Primordial Chaos to be the Goddess' truest face, others consider it the primal stuff from which She created everything. (The witches will tell you there's no difference.) Going there is generally not recommended, unless you've got some pretty strong protections.
And that's the multi-verse in my LL game. Have I listed everything? No, I'm keeping a few secrets for myself for now, and there are some things I've hinted about in play that I'm not discussing here, but it's more than enough to get a basic understanding of the interplanar terrain.
Photo credits: xamad, jurvetson, NASA/JPL-Caltech/Harvard-Smithsonian Center for Astrophysics.