What is the best way to put setting in a story?

How does one effectively embed setting into a narrative to enhance the reader's experience? Is there a particular method or approach that stands out as the most effective way to describe a story's environment, whether it's through vivid imagery, sensory details, or a subtle backdrop that gradually unfolds as the plot progresses? What are the benefits of doing so, and how can authors avoid falling into common pitfalls like over-description or underwhelming depictions?