My method goes: create the world, create the hero, sketch a rough story arc that he'll have to travel (ie what is the major conflict of the story), then wing it to see how he does in the details.
That order of the starting things is interesting.
Often I get the arc first, or at least the key points along it, the key turning point in the middle or the major climax at the end, or just "what story do you get when this meets this ?"
I very often get my protagonists from "OK, what I need is a person who will do X in situation Y and Z in situation W. Any takers ? OK, what kind of person are you and why are you like this ?" [ This breaks down for a specific range of characters who are somewhat like Aramis, who always have more schemes going than they will tell anyone, and if they won't tell
you, that can make working with them a serious pain in the behind. ]
I'll often get the broad strokes of the world in the beginning or as an inherent part of the story shape, because something like "what would it mean to wake up nine hundred years in the future where your great-granddaughter is an extremely powerful uploaded AI ?" is a story that implies some fundamentals of the world it's set in, but the details almost always come from thinking about how things have to work to get the desired context for the hero, and I almost always learn lots more about it in the writing.
