If you mean (as I think you do) extremely detailed and conceptualized worlds originally imagined and described by one author (unlike, say, George Lucas’ Star Wars universe, which always did have an army of artists workin g on aspects of it), then the big players have already been mentioned.
I’m awed by the detail that has gone into J.R.R. Tolkien’s Middle Earth. I’m possibly more awed by George R. R., Martin’s world for Song of Ice and Fire, because he didn’t work on it for as long. You can get lost for days in his appendices to those books. Frank Herberts Dune series has quite a bit of detail (now added to by others), as noted. A few others:
Larry Niven’s “Known Universe”. It grew up through the decades, with more details added. For the past quarter of a century, other authors have been adding to it viua the “Man-Kzin Wars” series
Cordwainer Smith’s “Rediscovery of Man” future – awesomely weird.
Robert Heinlein’s “Future History” series
Robert E. Howard’s Hyborian Age, along with his various other fictional milieus
Clark Ashton Smith’s various wsorlds – Poseidonis, Hyperborea, Xothiqie, Xiccarph, and Averoigne
Edgar Rice Burroughs’ Barsoom/Mars, Pellucidar, Venus, and the Africa of Tarzan
The connected universe of H. P. Lovecraft
Most of these latter, while extensive, were gradually revealed through stories, and you get the sense that the details were chosen simply for interesting story points. Tolkien’s and Martin’s worlds (and Herbert’s Dune, for the most part)seem to have been imagined as cohesive, working, whole units from the get-go, with many aspects conceived in detail with an eye to imagining a fully functioning world.