Oh, yes it does, even - or perhaps especially - if you're writing something involving worlds, pasts and futures that never actually existed. You see, Dave's post and the discussion about it afterwards is only part of the battle. If your story is set in Paris, then given a general time period, most people already have a handy-dandy little mental picture we can use to hang the story from. Granted, the little mental picture might come from a Disney cartoon, but it's enough to give the illusion of a sense of place. In the same way, American Civil War immediately brings to mind the handy-dandy mental picture of Scarlett O'Hara dresses and gentlemen fighting for honor, and oppressed slaves (hopefully not all in the Scarlett O'Hara dresses).
If you're writing SF or Fantasy, you can use key words to evoke the handy-dandy little mental picture: to most people the word "spaceship" gets a picture that probably blends the most recent Hollywood blockbuster, the flying saucer, and a few other odds and sods - unless you describe it first. "Uniform" in this context is almost certainly going to be tight-fitting, and "body armor" something like Storm Troopers, or like one of the assorted SF anime series.
On the fantasy side, "elf" is enough to bring the Lord of the Rings movies to mind. For that matter, unless you explicitly state otherwise, most people are likely to assume quasi-medieval cartoony European rural.
So where is research in all this?
Start by reading Sir PTerry. Now consider that everything in the Discworld starts somewhere in Earth's history and mythology. Yep. All of it - although I really do not want to know where the inspiration for the World's Best Dad mugs in the Exquisition's torture chambers came from. It's not just the weird and occasionally horrible trivia, either: take a stroll through pretty much anything from Wyrd Sisters on, and you'll find all sorts of world views beautifully integrated into the book.
And that, more than fact, is the gold writers need to be chasing.
I'm pretty sure that's not something anyone else is telling you. It's either some kind of mushy "all cultures are equal" - which isn't true, because they're patently not the same, and other people are very much not just like us with interesting food and costumes - or you're getting "write what you know" with the subtext that if you don't belong to the group in question you can't possibly write about it, insulting everyone with an imagination in the process... Anyway, what research can give you is the accounts of people who belong to cultures that resemble your imagined one to some extent - and which reveal the mindset and worldview of those people.
Say you're writing an Asian-themed fantasy, and you want a world that echoes Imperial China of the Han Dynasty. You go looking (Google is your friend) for translations of documents written in that era. Anything you can find is helpful, although if you can find responses to stressful events it's even better. Eyewitness accounts of this disaster or that war compared with a more or less impartial history of the same era can reveal all sorts of things - something Sir PTerry played on with his usual skill in Interesting Times, with Twoflower's incredulous reaction to ordinary people telling soldiers to (more or less) bugger off and the soldiers not retaliating. The urinating dog pictogram is a cleverly placed gag to soften the impact of the real message. I could go on forever about how well Sir PTerry does this, but instead I'm going to focus on a real example, one that's a little closer in time and space (and identities have been munged with to protect the guilty).
Someone I know is in the middle of a rather ugly falling out with her family over a whole lot of things that look petty and silly from the outside. From her side, though, there's a very different filter. As she sees things, she's being treated like a child and expected to do and be what everyone else in her family thinks she should do and be. She sees a pattern of put-downs and insults, and that she's only defending herself. A good writer should be able to tell her story and make her sympathetic to readers who would normally think her actions were petty, malicious, and immature. A good writer should be able to do this even when said writer thinks those actions are petty, malicious, and immature.
Which - of course - is where the research comes in. If you can find enough information about how people in Culture X thought and felt about Situation Y, you can put yourself inside their heads and think they way they did, at least for a little while. From such a source comes Pooh-Bah's much prized artistic verisimilitude and spares you the horror of writing what ultimately proves to be a "bald and unconvincing narrative"
Your mission, should you choose to accept it, is to take any document (yes, anything you can find on Google counts, and yes, it can be a news article. It just has to be a document. No video or audio, please) and try to figure out what that document reveals about the writer's world view. You don't even need to post back what you've found, although I'm sure it will be interesting if you do. Oh, and no using this as an excuse to slam someone for not agreeing with your beliefs. You're supposed to be trying to empathize here.