Many writers have said they consider setting as a character. Joyce Carol Oates talks about it in the linked youtube below, but there's a large crowd of writer's to whom setting is significant to their work. Of course, setting is essential to most high fantasy novels: Harry Potter, Tolkien's Middle Earth and so on, but it's also essential to some writers of kitchen sink realism, for example, Raymond Chandler and Los Angeles. For some writers the setting of their book becomes a character. For others it is essential to the development of character. In On Becoming a Novelist John Gardner wrote, "Setting exists so that the character has someplace to stand, something that can help define him, something he can pick up and throw, if necessary."
I think the importance of setting varies from writer to writer. If you're a writer who has a strong connection to place though, I think you can use setting to give your writing another level of connection to character and story. It will give the reader a deeper understanding of what your character is going through if where he is going through it is vividly rendered.