I tend to start with a sound, smell or color when I describe a setting; it sets the mood. An action done by the protagonist or any other character can be better, though, because it somehow engages the reader more. Another way to go about setting is just telling it how you see it and work on the details later. Whatever you choose to do, make sure to weave in action, thought and/or dialogue with the setting description. It also helps showing how the character feels in the current environment.
Here’s an example to depicting a setting in quick, small way:
‘We linger near the front door to his and Isabel’s townhouse, a lean-shaped brick house standing in line with many other identical buildings along the street. The moon hangs like a fortuneteller’s globe in the empty sky. Light pollution from the city wipes out the stars. I can maybe make out one or two twinkles above us. My head feels clouded even though we switched to drinking pop after my second glass [of whiskey] and Liam after his third. I guess the warm meal and jet-lag are getting to me. At least the spirits appear to cloak me from the falling temperatures that paint our exhales in white vapors.’