How does one build a world for their characters to inhabit in, be it original or an AU based off established and official works for the purposes of either storytelling or even roleplaying?

Well generally one chooses a time and culture based on earth history and then chooses something that either captures that, twists it, or counters it.
then they build a beginning and an ending point and drown themselves trying to fill the middle!

The best thing to do is to focus on the events, not the places. build a sequence of comp;;ing events for the character to experience, then blaze a trail of locations that can accommodate those events.
It's far far too common and easy to focus so much on building of a whole world, that people forget, if you don't use the information you establish in a meaningful way, then it's all just wasted time.

A character's world can be as small as their home or as big as all of time and space. But there's always a home base, an anchor point. Whether it's the endless road, the character's bedroom, or a spaceship zipping through the stars.
Defining a character's home is a big part of defining the character as a whole.

It can be a very daunting task when one thinks they need to know every block, every corner and every shop, or the distance between earth and alpha centauri. In the end they really don't.
What needs to be known is, where they sleep, where they laugh with friends, where they eat with family, where they battle their enemies, and where they get lost on their never ending journey.

Sooo... I think every decent artist has heard that one:

"I'm so envious of your talent."

Do you sometimes feel that the word "talent" has been/is used too often, especially when we are talking about arts? I used to think not too long ago: "I wish I was as talented as Person X". But I began thinking to myself, that saying that line somehow diminishes the effort artists have put to their work over the course of so many years.

I do Mei, I really do. It's too easy for outsiders looking in to chalk everything theta other people can do that they can't to pure predisposition.
And in the end, the word talent is a lump term that refers to several predispositions

Perspective: you have to view the world in such a way that makes your work into a personal language
Coordination: your body has to find the work as natural as breathing.
Desire: You have to get off on doing the work

A person that does not have all three of these things will not be successful as an artist.
I've met people with great coordination and perspective but no Desire, as such their art, which could have been amazing, was instead left to rot on the vine.
A person with coordination and desire but no perspective is left without a unique voice, and often ends up capturing the world around them over and over again, creating objects instead of ideas.
And a person without coordination is doomed to suffer not being able to get the powerful images in their mind out and into the world.

Would Shark Blue be the hero or villain of the saturday morning sentai show.

oh villain, totally. But one of the only one that survives through the endgame.