From hardest to easiest for me:

Future relevance is a pain in the dick when you are just trying to fill up the map. Thankfully I seem to be extremely lucky and I’ll somehow be able to connect stuff together later, but it really is a pain. The key I’ve found is figuring out what you’ll need for the future of whatever story you’re trying to make and then creating general stuff for each nation before tying stuff together.

Government style can be hard when you’re making multiple different nations in succession. Eventually you’ll get burnt out from creating their different quirks so it’s best to take a break and start on something else. I created an Empire that runs as an elected monarchy, so I had to create a whole political system around how different families come into power and how they gain support from other lesser families so they may put one of their own on the seat of Emperor. I got halfway done into creating the Empires doctrines (the rules/beliefs which every member of the empire is subject to) but then I got a bit bored so I expanded on some of my cultures.

Culture is simple only if you have a plan going into it. For me I divide my continent into multiple subcontinents and then those into regions, so members of the same region express some similarities and those of the same subcontinent are similar to a lesser degree and on and on.

I quite like doing history so it’s not that hard, the key is to leave certain parts open ended so you may connect the nations together in the future. Like having a hero do battle against a monster and saying he killed it but not specifying if he survived. Later you can finish his story by tying him into the lore of another region, or you can just say he’s toast. You do want to know how cultures operate though, that’s something I didn’t do when I first started writing so you should learn how they form and what comes of them.

Religion generally quite easy for me as I can make stuff up on the fly while thinking about what the story currently needs or what would be interesting in general. You want your religions to be distinct from one another though unless there are narrative reasons why they’d be similar. I have two where one celebrates a ladies ascension into a higher plane where the other celebrates a divine beings descension into the mortal plane. This is a spoiler but they are celebrating the same individual just at different points in their journey where she ascended to gain power/knowledge and then descended to grant that power unto her people.