Favorite Setting books ever- semi-chronological order:
Planescape- hmmm.. tough to go with one, but the original box set is available PDF, I'd add dead gods and the infinite staircase for adventure flavor. The original box is great. The artwork is inspired, the text is fitting, and at the time there was nothing like it.
Dark*Matter setting book- The text, hooks and flavor of this book is great. Sure it smacks of Sculley and Mulder, but it mixes up so much more. It is more than the sum of its parts. Well crafted all the way around. I hope this is available pdf somewhere... so good. It is for alternity so it is semi useless for d20 play, but it is such a good book.
Forgotten Realms Campaign setting: 3.0 ed D&D, this book is lush. It is how a setting book should look. Some of the text could be better, but it certainly communicates the feeling. I like it better than the 2E material for it (blasphemy I'm sure).
Here are three good settings that have some problem with their book that keeps them from getting in the top 3:
Feng Shui- great game, great book. Super fun to play, the setting is awesome. Drawback: book is cheap quality, not much color art, some of the line art is weak, no balance (if you have a bunch of tactical rules freaks this is not your game). That said, this setting is great, great to play and very imaginative (setting shared by Shadowfist CCG also a great multiplayer game).
Legend of the Five Rings: setting is rich and nifty. Book is okay, but the game rules are kinda wonky. I think my drawback is the cards from the card game somehow convey the setting better than the book (this is a personal problem heheh).
Eberron: this could get to the top three... I can't really come up with a firm drawback. The drawback right now is it's competion to get into the top 3. It is not as lush as the FRCS, not as innovative as Planescape, not quite better than the sum of the parts like Dark*Matter. Eberron is 2nd place in all of those categories however... so if it were some kind of number based judging rubric, instead of my biased opinion, it would probably be the champ.
-E