Are you bored yet? Good. Let's try that again.
On the second take, a character hunches as the wind gusts against him, shivering because he's not wearing a jacket. He squints because the rain has made his glasses next to useless. While he's walking, he splashes into a puddle he didn't see, soaking through his beaten-up sneakers. The only light he sees is at the end of the road, at a building so huge that at first he stops in his tracks, sure they'll never take him in. But as the rain intensifies, he heads straight for that light.
What's different? Character.
We need setting because our stories have to take place somewhere, and somewhere usually has things like objects in it and some kind of ambiance. It's important, and we know it. But do we always leverage it to its best effect?
Setting matters, but you can make it matter double if it gives a boost to character.
In the above, we get the same setting details in both the first and second examples, but in the second, they're filtered through the experiences of a character. Is it cold? Yes, because he shivers. Is it raining? Yes, because it's messing up his glasses and it's soaked through his sneakers. Wait, the sneakers are all beat-up, so that tells us something about this character being either poor or just unprepared for this trip. We get a sense of distance instead of just location, since the castle is at the end of the road but still feels huge. And then we get the character's response to this situation.
When you're writing, don't stop the story to give us the setting. The setting needs to filter to us through the experiences of the character: the character's perception, but also the character's reaction to what he perceives. I've recently read two stories in which the authors included amazing detail, and yet the details felt superfluous because the main character in no way reacted to those details.
And if reaction is good, interaction is even better.
It's fine to tell us the sidewalk is cracked. It's better to have the character respond to the cracked sidewalks: maybe wistful that his childhood home is going to ruins; maybe glad that his ex-girlfriend lives in this lousy place; maybe angry that his tax money goes for, apparently, no maintenance of the infrastructure.
But best of all is to have the character interact with the setting. Show us how the character stumbled over that crack in the sidewalk, and maybe he swore, or maybe he looked around hoping no one saw him do that. Maybe he jammed his toe and just held his breath until the pain subsided. Maybe the character picked his way over the uneven pavement.
The character's response to his setting is going to tell us more about the character...and in some ways, it's going to tell us more about the setting as well. Two jobs for the price of one. Plus, when the character is interacting with the details, we won't wonder why you included them. It feels more seamless.
Finally, if you can weave the setting into the plot so they're inextricable from one another, then you can see even more how setting would bolster everything. Ask yourself what the setting you choose has to offer the story, the characters, the subtext, the theme. Ask what the season you've chosen will evoke in the characters.
Bring to bear your setting's unique details in order to tell us not only about the character's world, but why it's important to the character. Once they're enmeshed that way, every detail is going to be doing double duty, and the character will fully inhabit the space of your story.