Determine the rules. Every universe needs order. When you're writing about characters who will most likely break the basic laws of physics, it may seem odd to establish rules. But rules help keep a certain integrity in your universe. When anything can happen, your surprise twists may simply exasperate readers, who will quickly learn to expect the nonsensical. By establishing rules, you create a firm foundation that helps your story stay grounded. Examples of rules include limiting the use of your character's powers, forbidding dead characters from reviving or restricting what magic can accomplish.
Outline your locations. Your "universe" may center on a crime-ridden city or span solar systems. If you choose locations that exist in real life, do research on them. Readers knowledgeable about these areas will be alert for errors.
Create your protagonist. There can be several protagonists, and they don't always have to be goodness personified. They can be gloomy anti-heroes or bubbly superhero wannabes.
Create your antagonists. Every story needs conflict. Your protagonist must be challenged by an antagonist. An antagonist can be a super-villain or a simple rival. The antagonist need not even be a character. It could be an institution, an element of nature or even the protagonist's insecurities.
Create supporting characters. Superheros need people to save, villains need civilians to torment and everyone could use a good lackey. Having supporting characters can make a universe seem more intricate.
Develop a back story. You should know your characters' stories--how they got where they are, what they think of themselves, their goals in life and their innermost secrets. Back stories aren't limited to characters. Developing back stories for your places can add richness to your story. You will not necessarily use your back story in your story. The back story is so you, the author, will know your characters better.
Set up your plot. Start with a general idea of where you want your story to go. Think of both long- and short-term conflicts your characters will face. You may be a spontaneous writer who doesn't plot ahead of time, and that's fine. But having a general idea of a story's purpose helps you move it along.