What is notable about Glorantha in terms of fictional worlds? Its coherence. It has a extensive and richly detailed mythology and history designed to be as "realistic" (the sense of verisimilitude, as we have to point out in any RPG discussion even though it is always blatantly obvious).
It's interesting, if you research the term "sense of wonder" it is primarily affiliated with science fiction. In fact, many articles on it say that wonder is more possible in science fiction than in fantasy.
And why is this? Because a fundamental grounding in reality is required for the cognition that makes a sense of wonder possible. Fantasy and magic, when used so that "we can just make up whatever crap we want," fail to accurately evoke a sense of wonder.
@LordVreeg is on the right track in terms of details and immersion, but the core value behind those is the fundamental sense that the setting is somewhere 'real,' which has its own consistency and rationality. Then, a specific element that is larger than life or incredible holds resonance for the reader. In "Rhetorics of Fantasy" the primary genres of fantasy that create a sense of wonder are described as portal and intrusion fantasy (which use our world as a backdrop for that contrast) and immersion fantasy (characterized by its rich, fully realized setting).
Therefore how you build a sense of wonder in your RPG is to have an internally consistent setting. Not one where things are a way because 'the game rules say so,' or 'I made up something wacky one day' - but something that seems like a real, living, breathing world, so that then the immanence of revelation can generate an emotional response in the game's participants.