Sci-fi or fantasy or alternate earth. Whatever works.
The GM explains the setting in brief, tells us where we've come from, then sets down a mostly blank map and says, "Explore."
The GM works with each player to have a reason to explore, and so at least a few of them have hooks that can crop up in this foreign land. Maybe a fighter's father went missing here, or a priest is tasked with converting the locals, or a mage seeks a legendary power, or a thief tries to track down the fleeing pirate who killed his wife.
Set things up so finding places also gets you some sort of reward. You get allies, or magical energy, or treasure, or access to unique talents (find the monastery of the 1337-kun-do monks).
Give us some rival explorers.
Have a main plot that slowly comes to the fore as we begin to figure out how this place works. Not 'saving the world,' though. More like, "We pick how things change."
That's what I want to play. Oh, and I want to be a spellcaster with lots of cool magic. Who is athletic, agile, and can fight with a sword. And who becomes adored by the locals. And who is named Mary Sue.