World-building is the cornerstone of any story. Readers must believe in the place inhabited by the characters, whether it be Los Angeles or outer space. Key aspects of world-building include consistency and specificity. An adept world-builder will convince the reader than the most implausible ideas are believable.
When creating a world, authors must devise a set of "rules" for their world. Vampires, for example, cannot be exposed to sunlight -- this is a classic rule of vampire literature. If this rule is broken, then the author must develop her own standards and explain them. Likewise, if an author creates a world with two moons, those moons must exhibit purpose for the story. Two moons inserted into a story without relating them to the world the characters inhabit come off as gimmicky.
Authors of paranormal romance face particular difficulties when it comes to world-building due to the fact that they are writing about people, places, concepts, even creatures that are outside the reader's experience. Every aspect of your novel's world must be understood when writing.