I first came across the term 'future history' inside the pages of an Asimov novel - most likely one of the Foundations and almost certainly a reprint, probably containing one of the man's excellent introductions. Apparently it was coined by Heinlein as the title of a short story and was then co-opted by John W. Campbell (who else?) as an actual term.
By 'apparently', I do of course mean 'according to Wikipedia'.
It's something I've always enjoyed reading as well as writing - hence my vast collection of notes, historical timelines, character bios and maps for Evinden (though I suppose that isn't a future history, rather a fantasy history). Even for the 'Detective' stories that I wrote as part of the creative writing course we did last year (links on the right!) I worked out a simple history, both of the world and the character: The progression of robot development, the rise of anti-robot sentiments, how the detective's parents had effectively had their lives made irrelevant by the robotic march, thus fueling his hatred.
I find it fairly essential with sci-fi, as the kind of sci-fi I like to roll around in is all about ideas, often relating to technical advances or discoveries, and you simply can't do it without knowing what's what. This isn't to say that characters, story and structure aren't just as important - probably more so in most cases. But you can have the best characters in the genre and it won't matter one jot if they're emoting within an empty world, or - even worse - and inconsistent or clearly made-up-on-the-spot world.
The reason I'm gabbing on about this is that I spent a brief part of this afternoon indulging in some flagrant future history writing for the FXhome Film Project, carefully filling in the fictional details of the story's mining operation (well, prospecting operation, to be precise). Tomorrow we're opening up some of the design to the FXhome.com community to see if they can come up with some cool visual concepts, and I felt this background was essential for them to have a context, given that we're not releasing the actual script at this stage. I can't wait to see what they contribute.
On another note, we went to the gym this evening for the first (proper) time. Good god it was knackering. Fun, though, and I'm looking forward to the next one. Good to be focused and regimented from time to time, methinks.