In role-playing games, a Campaign Setting is the setting in which a campaign takes place. Shocking.
A Campaign Setting is crucial to a good role-playing game, because it fluffs out the game, lending meaning to the dice rolls and spread sheets.
Plenty of role-playing game systems will come with one or more settings pre-made for gaming groups to use, to take some cognitive load off of prospective GMs, and thereby make it easier for people to jump in (and thus make it easier for people to justify buying more books).
Or a GM can design their own, doing research, world building, culture bashing to make a unique setting (they never are) and going so far as to make maps and customized figurines.
A campaign setting can have many scales, from galaxies, down to a single neighborhood. A well-crafted setting immerses the players, making them care about fabricated places and people that only exist on paper.
- The Grim Darkness of the 41st Millennium; Fantasy Flight Games' RPGs focus on specific zones in particular.
Seriously, there's a ton of these guys, in each and every flavor imaginable, with their own big list.