It's interesting that a number of recommendations here are 'generic' setting-agnostic systems such as FATE and Savage Worlds. What makes these an easy recommendation is that they don't include settings, so there's no need for supplements. The assumption is the GM is doing the hard work of establishing settings to play.
So my recommendation for the most 'complete' game in terms of mechanics and setting is Blades in the Dark. It's all there in the book, and I never felt like I needed an expansion. Alternatives that come close are games such as Thirsty Sword Lesbians, where the book is both setting and game.