Right now, my vote will go to Birthright. I think that, as a D&D setting, it just has everything coming together out exceedinly well - nobility is divine blood and translates into real powers, the elves have very good reasons to keep the land 'natural' and pristine, the fallen dark god's blood is still a curse upon the earth and his nightmares border on reality, churches get power from faithful and monarchs from subjects, politics are heavily ingrained in the setting...
I don't like that its cultures are based too strongly on real-world cultures, but I can live with that.
Another favotire is Midnight - an excellent setting. I don't really like the rules, though, or the overly-oppressive gameplay expected. I was pleasantly surprised with the depth of the Diamond Throne setting, some interesting play on history and races there. I also like the concept behind Oathbound. I like Blue Roses's setting, Aldis, even though everyone else seems to hate it.
The traditional fantasy settigns (FR, Greyhawk, Mystara) do little to me, they are just too bland (although Greyhawk I consider far better than FR, which is too much of a patch-job) - but they work well as a generic backdrop. I liked planescape's attempt at bringing some philosophical depth to the setting, but detested the rest of it. I likewise detested Spelljammer, even more. I find Dark Sun tried too hard to be different, although it has some good ideas. I find Eberron to smack too much of modernity for me. I likewise don't like other modern or sci-fi settings, like Star Wars or ones joining fantasy and modernity like Dragonstar.
Of non-d20, I very much like ars magica's setting, Mythic Europe, especially in its current (fifth edition) incarnation. But a big part of that is probably just because I like ars magica. I also like Nobilis' setting, a very interesting idea I'd like to explore some day.