Every world needs basic rules to survive. These rules are both the rules of physics, and laws of individual cultures. I'll try to address both sufficiently here.

First, the laws of physics. If you're writing in a fantasy world, you've a little more leeway than if you were writing something like historical fiction or contemporary fiction, but you don't have all that much. One of the biggest laws of physics that is bent deals with magic, which is covered in the magic section of this tutorial. Magic can explain a lot of things in your world, but it must be plausible (i.e. deal with magic as you've defined it for your world). For this reason, it's not likely that you'll have odd weather, like deserts bordering glaciers, unless you've some form of magic in your world that makes it possible. If you don't, don't treat your world like that.

I don't usually see too many problems with the laws of physics in the amateur writing I've read (I don't ever see it in professionally published fantasy writing, but then they've got editors who keep an eye out for that). Just to be on the safe side, though, when you're writing, try to avoid impossible things. For example, don't have rivers flowing uphill, or strange gravity. If something is pushed, either it moves, or the person pushing it is strained. If it's insanely heavy, don't make someone able to move it unless their race or magic can move it (i.e. giants moving boulders, or telekinetics moving boulders). Don't have people able to jump super-high unless you're writing a manga-style story (in which case, you should probably have pictures to go with it) or unless, again, their race or magic allows them to jump that high, or if gravity enables everyone to jump super high (in which case, heavy objects would be easier to move, but everyone would bounce when they walked). Basically, pay attention to physics.

Second, the laws of man. For each race and/or culture, try to define basic laws. For instance, elves might capture anyone who enters their territory who isn't an elf or isn't invited. Or sea nymphs might drown intruders. Or thieves' hands are cut off if they're caught. Murderers might be hanged while rapists might be castrated. It might be a law for one highly religious race that no one goes outside on a sacred day, or no one enters a sacred shrine except for the priests. A culture might have a law that certain types of people (females, sorcerors, children, etc.) aren't allowed outside without a head covering. Basically, look at the laws of certain races and cultures in our world, and adapt them, or use them as a model to develop your own. Decide what is a law in your world, and write it. And then be sure to punish characters who disobey those laws.