Well, if you don't want to create your own gameworld (either cause you're lazy or you want to put all your energy into creating a good adventure and interesting NPC's), you'll want to have a nice campaign setting. These are my favourites:
The Forgotten Realms: It's "vanilla D&D Fantasy". Things are largely as seen in the core rulebooks. High fantasy, high magic, high power. The realms offer a lot of additional material, a complete continent with a lot of history, and several pantheons full of gods. It's Wizards' flagship so to speak, and I use no other world for classic Fantasy gaming.
For starters, you'll need the Forgotten Realms Campaign Setting, and maybe the Player's Guide to Faerûn. The FRCS has one or two chapters which are very rules-heavy (a truckload of subraces, a lot of Feats, Prestige Classes, and Spells), but the rest is fluff, fluff, fluff (background material): Information about Life in Faerûn (the Continent the adventures take place on), about magic, history, geography (really big chapter), deities (over 100), cosmology, organizations... The Player's Guide updates the rules material of FR books (not just the FRCS) to 3.5, introduces a lot of new material and incorporates other D&D rulebooks (Manual of the Planes, Epic Level Handbook, Book of Vile Darkness / Exalted Deeds, Expanded Psionics Handbook) into the Realms. Additional supplements offer in-depth information about specific regions of the game world, about evil organizations, magic, the gods and goddesses, monsters, and the available races.
Midnight: Think of Lord of the Rings, maybe 100 years after the movies. Now think how Middle Earth would look like if Sauron had won. That's Midnight (its not Middle Earth, but it is a lot like Middle Earth would be if Sauron had won). The Characters are quite powerful, but they are alone, and may be the last heroes the world has seen, before the forces of darkness eliminate the last vestiges of resistance. Midnight is a lot darker than normal D&D. The only deity available to grant spells is the Great Enemy, and arcane magic is substantially different from normal D&D. Midnight offers a number of different Base Classes (as the magic using ones from the PHB aren't available to players, and only the Cleric sort of persists in the form of the Legate, a class that isn't meant for players, but for their worst enemies), the races are not what you know from D&D (but they are more powerful).
For Starters, you want the Midnight Campaign Setting. Like the FRCS, it has a couple of rules-heavy sections (describing the new races, classes, Prestige Classes, and the spell system, as well as new Feats, skills, weapons), and the rest is information about all aspects of the game world.
There are a couple of other rulebooks out already (Midnight is fairly new), like a Player's Guide who is stuffed with rules-heavy material (so it's a good companion to the Campaign Setting, who only sported the necessary rules stuff), a Monster Book, an introductory adventure (who also has advice on how to convert normal adventures into midnight), and maybe a couple of others
Legend of the Five Rings - Rokugan: This is high fantasy, but not based on medieval Europe, but rather on Asia (with heavy emphasis on Japan), and was evolved from the Trading Card Game of the same name. It also offers new base classes (as several concepts of D&D, like Paladin, Wizard or Cleric, don't fit into a Wuxia setting), and of course there are new feats, spells, Prestige Classes, races, and skills. Rokugan has only 3 races (humans, ratlings and naga, with humans by far the most important), but the humans are divided into several Clans that define their behaviour and outlook on live. Instead of pantheons of gods, religion is comprised of ancestor veneration, spirit worship and philosophy, all in a state of co-existance, and magic is nearly-inseparable from religion. In Rokugan, your honor is much more important than your alignment, and the setting is very heavy on politics (not just hack'n'slash. It even has a courtier class who is near useless on the battlefield, but has its place at the imperial court, a battlefield not less deadly than the conventional ones).
To start playing in Rokugan, you'll need the Oriental Adventures supplement from Wizards and the Rokugan d20 Campaign Setting from Alderac. The OA has mostly the "crunch" (new rules), while Rokugan d20 focuses on "fluff" (flavour and background information), though Rokugan has a fair amount of crunch, too.
There is a large amount of additional supplements for Rokugan, for every Great Clan, important Class/Role, and for a couple of other topics, like Magic, Cosmology/Religion, Creatures and exotic weapons. These supplements contain a large amount of background information about the topic at hand and its history, and even sports small stories to flavour the chapters. It always offers new rules, too, but none of these books is merely packed with crunch (maybe except the monster supplement).
Ravenloft: Another of the older Settings for D&D (FR is an old one, too, but L5R found its way to D&D/d20 only with the creation of the d20 model, and Midnight is quite new), Ravenloft offers tales of Gothic Horror. If you like zombies, vampires, werewolves, and Frankenstein-like constructs, and want to instill horror into your players, you're right here. In Ravenloft, event he land is evil, and will both reward and punish evil-doers (at the same time, and in a manner ironically appropriate to their deeds)
To start up, you'll want to get the Ravenloft Player's Guide (the 3.5 version of the Ravenloft Campaign setting including some additional stuff), and the setting has several supplements as well, including its own Dungeon Master's Guide and monster book.
