Setting
Ostensibly, the setting is roughly divided into two general categories: the Known World (Washington, D.C. and Indy's university) and the Unknown World (everywhere else). That's in keeping with the Hero's Journey, which Raiders embodies so closely it felt like cheating when we were writing it up.
The Known World
The Known World represents everything safe and secure: the things the hero goes out and fights for, like mom, apple pie, and the right to go about your business without Anti-Semitic knuckleheads goose-stepping down Main Street. It holds all the good things in the world, but it's being threatened, and unless the hero ventures forth, it's all going to go to pot.
Spielberg helps stress this by emphasizing its normal qualities. The lighting in these scenes is very soft and natural, coming from daylight instead of electric lights. It's rather muted in terms of colors too—a lot of grays and browns—and you'll notice that John Williams' score is very quiet during those scenes when it's playing at all. While the Known World is safe, it's also kind of boring, and for a young man (or woman) looking to strut their stuff, it's a place to get away from as quickly as possible. The film wants to show us as well as tell us, which makes all the Unknown World scenes that much cooler.
The Unknown World
In contrast to the Known World, the Unknown World is colorful and busy. There's lots of crowds, and weird animals, and everything smells like frying meat. The light in these scenes is more direct (unlike the Known World scenes, which look like they had a lot of cloud cover) and the colors more vibrant. Seriously, have you ever seen foliage as green as that in the Peru sequences? This all comes on top of a sense of cultural exoticism: places like Egypt and Nepal, where people practice different customs and adhere to different cultural values. That's a pleasant way of saying stereotyping, which the movie can't quite escape.
But just as the Unknown World contains all kinds of fantastic things to see and do and have done in your name, so too does it carry danger. Serious danger, of all different kinds: from cranky headhunters to "now you gotta crawl under a moving truck, smart guy!" And here too, Spielberg plants all kinds of visual cues to let us know we're not entirely safe.
Beyond the mundane dangers like snakes and spiders and poisoned dates and the inherent menace of the locals (which, seriously, comes off as a little racist), there are more unpredictable concerns, like the weather. Indy visits Marion's bar in the middle of what appears to be a full-bore blizzard, while the desert outside of Cairo looks hot enough to fry an egg. As Belloq tells Marion,
"If you're trying to escape, the desert is three weeks in every direction."
The upside of this is that the Unknown World looks a little less unknown by the end of the movie. Indy's risked a lot, but he comes out of it with a better understanding of life (including a few of its cooler trinkets) and a sense that maybe all those dangers are worth it for the way they help him grow. Joseph Campbell knew how it worked. Lucky for us, the creators of Raiders of the Lost Ark did too.
The Time Period
We'd be totally remiss if we didn't mention the year in which this takes place, which is as important to the setting as the locations themselves. 1936 was a period of tremendous change, when the world struggled its way out of the Great Depression and Nazi Germany was developing big plans to ruin everything for everybody. There were still unexplored corners of the world: things we didn't understand, places no one had visited, and phenomena that still defied scientific explanations. But science was rapidly gaining ground, what with those new-fangled "radios," "airplanes," and "skyscrapers."
So on the one hand, fear and superstition were still out there. Darkest Africa was still pretty dark, and you could imagine that places like Atlantis were just waiting to be discovered. But on the other hand, you could see science and knowledge pointing the way to something better. Something grander. Something that didn't involve painting "Here Be Dragons" on the map and fearing for your life just because you wanted to take a trip across the ocean.
Indiana Jones stands perfectly balanced between those two points. He's a scientist and an explorer, someone dedicated to getting into all those dark corners and shining a light on them. But he studies the past and goes looking for things only whispered about in scary bars on murky waterfronts. He wants to bring those things into the light and help us all understand them. ("The Ark is a source of unspeakable power and it has to be researched!" his buddy Marcus says at the end in an echo of his sentiments.) But he also knows that science can't solve every problem and that sometimes lost things should stay lost.
Contrast all that with the Nazis, who took the exact opposite approach. They loved science and technology, but only as a way of conquering other countries and justifying their crazy ideas about master races, etc. They had a fixation on superstition and the occult (the swastika was a symbol used in numerous ancient cultures) and they aimed to destroy any culture that didn't match their notion of what people should be. They were opposite sides of the same coin, Indy and the Nazis, and the 1930s was the perfect time to set them against each other.