D&D General Best D&D Setting?

[Voadam]

FR and Greyhawk 1e are fun, both fairly open classic D&D settings with pantheons I found engaging and also distinctive things like Conan Stygia style Red Wizards and the Greyhawk Scarlet Brotherhood, Great Kingdom, and Iuz big villains. FR is considered a bit more consistently high powered and high magic, Greyhawk is very variable in tone and themes supporting both grounded D&D fantasy and gonzo high fantasy. My big criticism of 1e Greyhawk is not connecting the pantheons to the setting's theocracies, the intolerant Theocracy of the Pale is easy to infer to the followers of Pholtus of the Blinding Light, but a lot are not, the Archlericy of Veluna, The Prelacy of Almor, The See of Medegia, The Caliphate of Ekbir, for instance all have multiple plausible possibilities. Later 2e and 3e editions fill in these blanks with variable satisfaction in the results (The Baklunish being followers of "Al'Akbar," a Baklunish demigod not even mentioned in the 1e setting, for example).

I missed that you said the 1e Greyhawk Folio and not the 1e Boxed Set.

The folio has no gods whatsoever, so it is up to the DM to fill that in for themselves including with all the religious theocratic countries as is. You could go with later Greyhawk canon for such or go with your own pantheons/cosmology. Iuz is rumored to be a spawn of Orcus. The folio has less cruft than the boxed set (weather tables and such) but also a bit less flavor text on things like history. It does have a bit more in depth set of runes and glyphs.