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Two famous examples are Stephen King and John Irving*, whose settings are usually places with which both authors are very familiar. Their books are full of details that come from intimate knowledge of the people and environment of those places (New England, Vienna (Austria), etc.). As someone that has never been to most of the places in those stories I don't know if they are truly authentic, but they feel authentic, and generally that feeling comes through best if it comes from a writer's own experience.
The other side of the coin is not to get too carried away with showing what you know - let it come through naturally, don't try to prove it, don't preach. ... And, sometimes, intimate knowledge is not needed or is out of place. Sometimes a story, or parts of a story, are simply not about those sorts of intimate details. But don't let this fool you. In such cases the advice might become: don't write what you don't know. In other words: Don't make up details for filler, if the details are necessary then follow EileenG's advice and "do the damn research", but if the details aren't necessary then say nothing.
And a +1 for crich70's post - another aspect from this same proverb/advice/guide. Write your characters from your own heart and experience - without actually creating characters based on real people, use what you see in them, and see in yourself, but don't create clones.
Of course, "writing what you know" can get a little less obvious when applied to fantasy. In such cases you might extend this proverb to mean: keep enhancing your fantasy in your mind (and/or in your own notes) until you really do know the setting and characters so that this knowledge with come through in your writing.
Disclaimer: This is "advice" from someone not yet published (self or otherwise), it is based mainly on what I've read rather than what I've written. I've yet to have others see whether I've managed to take such advice into my own writing.
* I think Irving sometimes takes this too far, some of his books get rather repetitive because his characters and places (at least partly) repeat (without being a related story). In his later books even the author-characters end up creating very close emulations of their own "reality", often to the point of demonstrating little imagination (which to me doesn't always seem credible, or not credibly presented in the books).
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