If you delve into the mysteries of the armed forces and it turns out that one of your players knows more about them than you do, you could be stuck in a tough spot. In some ways playing in a modern-day setting forces more research rather than less, because making up details can cause problems. If your players know that army procedures work in a certain way and assume things work the same way in the game world, they can get screwed over for no better reason than that they knew too much. Not to mention that there are a few players out there who rely on knowing more than the GM does in order to out-maneuver him. Depending on the fantasy setting, you may be able to take some details from history books.
Many fantasy settings are at least loosely based on actual historical periods.
History books and web sites can give you details like city size, tech level, clothing, and so on. Since it's fantasy, your players are less likely to call foul on details than in the modern-day setting. Fantasy is just close enough to history that you may have players trying to use primitive science, or knowledge of things like how primitive locks operate. If you really hate research, futuristic science fiction might work well for you. However, the more you base your science fiction in real-world theories and principles, the more your players can try to extrapolate how things should work in your world.