I recall, a long time ago, picking up a book called EATERS OF THE DEAD. It hooked me immediately, and I was so convinced by the initial claim that it was an ancient manuscript, blah, blah, blah, that I had to stop and say to myself, "This is a novel. He's making it up." But how cool that Crichton could do that to me.
The authors we love build us a world. Sometimes we have to help them, suspending disbelief and letting them show us things that cannot be, but if they're good at it, we are perfectly willing. Neil Gaiman's London subway where underground doorways lead to strange things. Clive Cussler's undersea shenanigans. William Henry Hudson's jungle world where a lovely girl inhabits a temporary Eden, and even the worlds we mystery writers enjoy, where the men are strong, and the women, if you're a Peretsky or Grafton fan, even stronger. At best, we're sorry when the book ends and we have to close the covers on that world. Right now James Rollins has me rapt with descriptions of places I'd never heard of, and I've pledged to find out just how much of his world is real and how much is in his head. That's a sign, I think, that he's done his job well.
The key is in the building materials: words, phrases, and concepts, and amazingly, these fragile things serve well if the builder is careful and the reader is willing.