Incorporate your setting into the story naturally. A piece of fiction should flow naturally and not read like a travel book. Rather than stating baldly where your story takes place, artfully describe the topography. A story taking place in Hawaii is going to be described differently from one taking place in Minnesota. Allow the reader to gradually learn the geography through description rather than simply telling the reader where the story is set.
Use dialogue to reveal setting. This does not mean that you have characters talking about New England, but rather that you give them dialogue that has the nuance as well as the clipped accents of Yankees. People born in the South don't use the same historical turns of phrase as people born in the Midwest. Take time to learn how people in different regions talk and subtly use that to reveal setting.
Don't forget that effective use of setting also has to do with time. Setting a story in Jackson, Mississippi, in 1950 is going to lead to a substantially different story than setting it in 2000. The ambieace and overall feeling of a setting can change over time as society progresses past its conservative yokes. Address these elemental aspects of setting when you write.
Resist the temptation to begin your story by revealing the setting. This is an amateur's mistake. Another mistake is a long list of descriptions of the setting. Rather than giving two pages of description of the mountains and rivers and architectural styles, choose the right places throughout the story to pepper in these items.
Utilize setting as an element of your theme. Consider the theme of alienation and loneliness. You could set your story in the middle of the desert or in the steel jungle of New York City. Two different approaches to the same theme that would be differentiated only by virtue of the change in locale.