There have been five settings that when I first read them screamed "run me!" and are VERY different from their competition, due to both depth and tone.
1) Midnight- a great setting with a dark, but heroic tone. This is one of the only books I've read that while I was reading it, I could easily picture in my mind the locales and characters involved. If your players are too much into the regular D&D rut (kill, loot, rinse & repeat), they probably won't care for it much though.
2) Codex Arcanis- GTseng3 gave a really good rundown of Arcanis, so I won't repeat what he's said. This is the first D&D product I've seen that offers a complex but realistic pantheon system, where not all followers of a god are the same alignment (and in fact can be opposite alignments!). A very well thought out setting, with a rich history and unusual takes on the standard D&D races.
3) Iron Kingdoms- A really cool, somewhat dark steam-fastasy setting. The fluff in the IK books are great, the rules mechanics unfortunately are rather wonky at times.
Non-D20
4) Warhammer Fantasy Role Play- A very cool gritty, dark world based loosely on historical Earth cultures. You've got skaven (rat men), chaos cultists seeking to undermine society, witch hunters, a detailed and rich history, and no black/white hats that are common in D&D. The new 2nd edition is an incredible system, and has become my game of choice since its release.
5) Deadlands Classic- Probably the most brilliant writing and most entertaining read of any RPG I've ever seen. Deadlands mixes Westerns, pulp, and horror into a yummy blend that you just can't go wrong with. Basically at the height of the Civil War, the evil and deaths that had been wrought started a supernatural influx into the world that resulted in horrors from legend coming into the world en masse. The setting takes place 12 years later- the Civil War rages on, although on a less intense scale, the Souix and some other indian nations successfully fought off the US and hold their ancestral lands, and the Great Rail wars are on as the US, Confederacy, and independents race to be the first to build a transcontinental railroad. Hucksters use the released dark forces to work magic, men of faith perform miracless, mad scientists create devices from dream and nightmare, indian shamans commune with their ancestral spirits, and gunslingers and other riff-raff roam the West. Some of the best and most fun RPing I've ever done has been with Deadlands, and the rulebooks and regional supplements leave you gasping for more. Although the Classic line is out of print now, Deadlands Reloaded is due out anytime for the Savage Worlds system.