For Dragonlance it's the Dragonlance Campaign Setting, together with War of the Lance and Age of Mortals.
I love the old books, but they really have nothing on the latest. Sovereign Press for the win.
You beat me to the punch, Jonesy!
I'm going to second what Jonesy said here. For Dragonlance, anything by Sovereign Press/Margaret Weis Productions is gold (or rather, steel).
War of the Lance comes in for the win as best Dragonlance sourcebook ever.
Prior to 3rd edition, I would give special mention to
Dragonlance Adventures, which was the foundation stone upon which Dragonlance gaming was built. And the
Tales of the Lance boxed set still holds a special place in my heart.
For other worlds, here's a few that I like...
Dark Sun - Original boxed set and the
Dragon Kings expansion book, which was the best epic level sourcebook for the time, IMO.
Forgotten Realms - I thought the FRCS for 3e was incredibly good. I was hoping that the DLCS would look more like it. Also a big fan of the original and gold boxed sets and
Forgotten Realms Adventures.
Greyhawk - I have a certain fondness for
Greyhawk Adventures. The
City of Greyhawk boxed set was good, and I enjoyed seeing the 3e
Expedition to the Greyhawk Ruins.
Eberron - Love the 3e sourcebook. I don't have the 4e campaign guide yet, so I can't compare.
Spelljammer - The original boxed set was amazing. I remember being stunned by the whole concept. And the art was cool too! The boxed set that went over the actual Spelljammer itself was tons of fun. It was a mini-campaign of sorts.
Ravenloft - I never could get into Ravenloft in 3rd edition. To me, it took away from the setting when it didn't touch the other settings. The original two modules by Tracy and Laura Hickman hold a special place in my heart here, as well as the 2e boxed set (and I forget the name) that compiled the two boxed sets before it.
Al-Qadim -
Arabian Adventures was so nifty. Aladdin had just come out, and the flavor in this book added so much. I regret never having the opportunity to play it.
Mystara - I'm not a Mystara expert by any means, but I loved the
Red Steel boxed set, the
Champions of Mystara boxed set (with the Spelljammer-like airships), and I seem to recall the
Immortals boxed set as being fun.
Oriental Adventures/Rokugan - I know a lot of people prefer the d10 system and I like it too. However, this tag team duo of books were some of my faves in 3e. That's what introduced me to the setting.
I also enjoyed the
Council of Wyrms boxed set and
Tale of the Comet.
For the most part, I enjoyed the initial setting sourcebooks of each setting, though a few didn't grab me as well. I never could get into Planescape with the art (just not my style) and the terminology. I so wanted to like the idea, but upon seeing it, it was a turn-off. Birthright had some nifty ideas, but never grabbed me.