When I got 4E I was rather enthusiastic about using the 'implied setting' to construct a homebrew campaign setting: Legends of the Kingdom of Epic Adventure Quest.
That aside, I have particular affection for these:
Shadowrun: When I first heard of this game and its diabolic melding of cyberpunk and fantasy, I thought "that sounds kinda silly". And it is, but the more of the setting I read about and think about, the more I love it.
Edge of Midnight: A lovely little noir setting, in a world where history stops a few decades ago at the time of the 'White Light', and people who concentrate hard enough on science can control the very laws of physics...