Creating a whole world on your own as a GM can be extremely daunting. Thankfully, there's plenty of pre-generated location guides for you. The Streets of Avalon is a new one, taking players to a dark, Victorian city filled with all manner of wonders and intrigue. The book is up on Kickstarter now.
From the campaign:
The Streets of Avalon has a gazetteer of the city covering the people who live there, the areas of the huge city, the economy, festivals, religions, guilds, noble houses, weather, seasons, magic, monsters, and a partridge in a pear tree. It’s all in the gazetteer.
There’s also a GMing section which provides advice on how to make the city of Avalon come to life and what gives an Avalon game its distinct feel. It also covers the idea of the neighborhood as an adventure location, having a base of operations, and a number of adventure types: Political Intrigue, Dungeon Crawling/Treasure Hunting, Heists, Investigation/Crime Solving, and Monster Hunting. The final part of this section has information on the races and classes that exist in Avalon, how they function within this setting, and what changes you might need to make, if any.
Then, three example neighborhoods are provided which you can use to run your adventures in Avalon right out of the book if you’d like.
There’s also a lot of flavor in this book. Art, letters, quotes, and sidebars which help GMs and players understand the tone of Avalon.
The campaign is over 3x funded, but with only 10 days left on the clock.