One of the panels I did for Gen Con's Writer's Symposium was "Setting as Character." An hour really isn't enough time to address this topic, so I immediately started thinking about things to add to a similar discussion in the future.
First is the concept of genius loci, the spirit or essence of a place. This could either be a literal guardian spirit, or simply a distinctive atmosphere. It's a good place to start a discussion of setting as character, but oddly enough, we didn't touch on this at all.
As fantasy writers, we have a huge vocabulary of mythical and fantastical creatures who guard particular places. There are dryads and treants in the forest, nyads and rusalka in the waters, minataurs in mazes, and magical caves and sacred springs that have a different, less personified sentience. Not every fictional location has (or needs) a literal guardian, but this notion suggests a good thought exercise to use when developing a setting.
If nothing comes to mind, it might help to get the ball rolling if you look for examples in your own experience, or in folklore and fiction. Here's a personal example:
We did a driving tour of Scotland when Andrew and Sean were in middle school, and one of my oddest and strongest memories was an afternoon traveling through bleak, deserted landscape on a one-lane dirt road. Every now and then there was a place to pull off to let another vehicle pass, but we never needed them. In nearly three hours, we didn't see another car. No people, no sheep, not even a bird. The sun became mist-shrouded when we turned onto this road and didn't appear until we came to a main road. Time seem to be suspended, and according to the milage on the map, the trip took much longer than it should have. The sense of moving from the world we knew into something alien and "Other" was powerfully strong. If I had to envision a genius loci, it would probably be a huge, translucent raven--a psycopomp that could ferry people between worlds. The image of a large, mist-colored werewolf also came to mind more than once. It's hard to travel through that part of Scotland without feeling that the land could very easily express itself in the form of mythical (and probably malevolent) creatures.
Sometimes the genius loci doesn't lend itself to personification, but is easily identifiable as an emotion, attitude, or pattern of behavior. This isn't an original theory, but sometimes I envision the setting of Game of Thrones as an elaborate gameboard, with the gods--the Old and the New and probably a few who are seldom mentioned in the prayers of the Westeros faithful--as the real players. They have their kings and queens, bishops and warriors, perhaps even their avatars. I don't know what these gods want, but who ever does? Still, their essence infuses certain locations, such as the sacred tree near Winterfell. In the north, the Old Gods still seem present; I don't think it was a coincidence that the Three-Eyed Raven was melded to an ancient tree. But wherever you go, there are frequent references to ancient conflicts, and the feeling that the essence of Westeros is the sense that everyone who lives there is part of an endless, deadly game.
When you're doing the "character sheet" for your setting-as-character, start with some of the usual suspects--appearance, resources, and history--and then consider less obvious notions, such as what secrets the land might have, and how it would protect them. Is there something about the flora, fauna, or mineral deposits that create a unique characteristic? (Example: The halucenagenic pollen of certain plants on the planet Darkover jumpstarted psychic powers in the human newcomers.) What about the seasons? A world with a predictable pattern of relatively short seasons will be a very different place that one that has a more elliptical orbit, two suns, or other factors that lead to extreme or extended seasons. If your world includes magic, the notion of genius loci is likely to be an important part of your magic system. Places of magical concentration, such as ley lines, haunted forests, and sacred pools, give a setting personality as well as power.
Since every character is revealed through his/her/its relationship with others, think about the relationship between the land and the people who live on it or move through it. Is it one of mutual benefit, or is it adversarial? How does the spirit of the land effect these people? Do they become dour, grim, and suspicious? Are they more likely to take an interest in magic than the people in the next valley?
Finally, how do your characters perceive the genius loci? Is it something they fear and avoid, embrace and emulate, or simply accept as they would the weather and topography? Are they even aware of it? If residents are oblivious to something that visitors perceive, that opens a whole new set of story possibilities.