When one chooses a setting, that setting should inform the story. Some aspect of that setting should play a part in the story. The first thing you should try to uncover as you start your research on setting is what sets the place apart from similar places. Then, figure out the things "everyone knows." For instance, if I were to set a story where I grew up on Cape Cod, the story would acknowledge that the population doubles every summer, that the economy relies heavily on tourism, and that locals both appreciate and resent the traffic-clogging effects from June through August every year. I'd have to acknowledge the tone most popular fiction ascribes to the Cape, because most people didn't grow up on Cape Cod, so all they know is what they see when they visit, or read books about it. I wouldn't want my Cape Cod to be such a different entity from all the other fictional versions. I'd still want it recognizable, but I'd have to use more details to convince my readers that the one I'm working with is the real deal.
Details about setting shouldn't necessarily be a big part of the narrative. I've read books where setting is lightly painted in, and others where it's slathered on. How much of the setting is shared is totally up to you and the kind of story you're telling.
But, if you do choose to use a particular setting, you should have a reason why. You should use some aspect of that place in the story, and use any pertinent details, without infodumping or interrupting the narrative.
As an exercise in setting, try writing a short story in two different places you've lived or visited. Use the same characters and premise in both stories, but have the setting play a part in how the story plays out. It may not affect the narrative much, in the end, but it should affect how things play out, how your characters speak, and the description surrounding the characters. Something as simple as whether a place has public transportation will affect how well two characters know one another; I know I'd be more familiar with someone I carpooled with than the guy who sits across from me on the subway every day.
If you give it a try, let me know how it goes in the comments.