For me, I think the PoL setting (and to a similar extent, the undefined Greyhawk of 3rd ed) is my favorite setting to play in. It's just a generic world that builds on a sort of background understand we share from having read one (or a dozen) too many trashy fantasy novels in our youths. There's a place for everything (just over the horizon, a distant continent, across that mountain range, wherever) without the muddled sensation I get from settings trying to cram everything in. Unless a player or an adventure calls for an element, there's no need for it to exist yet.
Of the published settings, Dark Sun in my favorite because it has a different feeling while still being the kind of fantasy I like. The whole world cataclysm that drives the differences stops it from being dropped into a more generic setting, so it needs its own world.
Of the other settings, generic fantasy worlds that have been fleshed out by others are nice, but uneccesary. I don't particularly care who the king's chancellor is when my character is a simple peasant. So, nothing against Forgotten Realms, Dragonlance, Birthright, Mystara, whatever, I just don't feel the need for them.
Ravenloft and Eberron are interesting enough worlds, but just don't really mesh well with what I want from my gaming or my worlds.
Planescape, Spell Jammer and Al-Qadim I've never really been exposed to. Perhaps I'd like them for being something unique, but none of their concepts have ever drawn me enough to look into them deeply.